Fully Dynamic Pricing: Risk Indifference and No Good Deal


We propose a dynamic pricing evaluation derived from  a fully-dynamic risk-measure on $L_p$-spaces, $p \in [1,\infty]$. The concept of fully-dynamic risk-measures offers the possibility of changing the risk perspectives over... [ view full abstract ]


  1. Jocelyne Bion-Nadal (CNRS, CMAP Ecole Polytechnique)
  2. Giulia Di Nunno (University of Oslo)

Topic Areas

Asset Allocation , Risk Management , Risk Measures


TU-P-SY » Risk Dynamics (14:30 - Tuesday, 17th July, Synge)

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