paper
Dynamic Return and Star-Shaped Risk Measures via BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
Dynamic Return and Star-Shaped Risk Measures via BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
paper2023-07-07English
risk managementarxiv
Description
This paper establishes characterization results for dynamic return and star-shaped risk measures induced via backward stochastic differential equations (BSDEs). We first characterize a general family of static star-shaped functionals in a locally convex Fréchet lattice. Next, employing the Pasch-Hausdorff envelope, we build a suitable family of convex drivers of BSDEs inducing a corresponding family of dynamic convex risk measures of which the dynamic return and star-shaped risk measures emerge ...
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