Optimal derivatives design under dynamic risk measures

By Pauline Barrieu, Nicole El Karoui. 2004

135 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/37ab94caf34d7384c8c7cc3fc081fcee41d4f1c6

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Citations in the corpus

BSDEs with jumps, optimization and applications to dynamic risk measures (2013, background): “Furthermore, in 2004-2005, various authors have introduced dynamic risk measures in a Brownian framework, defined as the solutions of BSDEs (see [20, 4, 14, 23]).”
Harmonic analysis of stochastic equations and backward stochastic differential equations (2008, result): “Note that BSDEs with unbounded coefficients have also been studied by El Karoui and Huang [14], but requiring that both the solution and the data lie in the square integrable space which is weighted in relevance to the coefficients.”
Existence and Comparisons for BSDEs in general spaces (2010, background): “These operators, discussed in [19], are closely related to the theory of dynamic risk measures, as in [1, 3, 21] and others, as each concave nonlinear expectation E (·|Ft ) corresponds to a dynamic convex risk measure through the relationship ρt(Q) = −E (Q|Ft ).”
Dynamic risk measures (2010, background): “The entropic risk measure was introduced in [22] in the static setting, in the dynamical setting it appeared in [5, 28, 17, 12, 20, 13].”
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2011, background): “A detailed review of the literature including the comparison theorem and different applications may be found in El Karoui, Hamadène & Matoussi [18].”
OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION (2007, background): “Optimal risk exchange in an expected utility framework is explored in [4, 5], and based on convex risk measures in [2, 3, 6, 11, 15, 19, 21, 23] The remainder of the paper is as follows.”
Convexity, translation invariance and subadditivity for g-expectations and related risk measures (2008, background): “MR1842283 [8] El Karoui, N., Peng, S. and Quenez, M. C. (1997).”
Conditional and dynamic convex risk measures (2005, background): “Remark 5.6 Dynamic entropic risk measures are studied by Barrieu and El Karoui [3] who stress their representation as solutions of a suitable BSDE, under the assumption of Brownian filtration.”
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (2007, background): “Robust utility maximization is also closely related to other optimization problems involving convex and coherent risk measures, and these problems have also received a lot of attention recently; see, for instance, Barrieu and El Karoui [3], Klöppel and Schweizer [16], Gundel and Weber [13], and the”
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions (2008, methodology): “This can be seen in (2), and more generally in (16).”