A dynamic extension of the Foster–Hart measure of riskiness

B-Tier
Journal: Journal of Mathematical Economics
Year: 2015
Volume: 59
Issue: C
Pages: 66-70

Authors (2)

Hellmann, Tobias (not in RePEc) Riedel, Frank (Universität Bielefeld)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

We analyze the Foster–Hart measure of riskiness for general distributions in dynamic settings. The Foster–Hart measure avoids bankruptcy in the long run. It is not time-consistent.

Technical Details

RePEc Handle
repec:eee:mateco:v:59:y:2015:i:c:p:66-70
Journal Field
Theory
Author Count
2
Added to Database
2026-01-29