We extend the framework introduced in “Collective Arbitrage and the Value of Cooperation” by F. Biagini, A. Doldi, J.-P. Fouque, M. Frittelli, and T. Meyer-Brandis (arXiv:2306.11599v2, 2024) in order to analyze collective dynamic risk measures. In segmented markets, we explore the implications of cooperation on dynamic risk measurement, focusing particularly on aggregation and time consistency.
Doldi, A., Frittelli, M., Rosazza Gianin, E. (2024). Collective dynamic risk measures. FRONTIERS OF MATHEMATICAL FINANCE, 3(3), 376-399 [10.3934/fmf.2024012].
Collective dynamic risk measures
Rosazza Gianin, Emanuela
2024
Abstract
We extend the framework introduced in “Collective Arbitrage and the Value of Cooperation” by F. Biagini, A. Doldi, J.-P. Fouque, M. Frittelli, and T. Meyer-Brandis (arXiv:2306.11599v2, 2024) in order to analyze collective dynamic risk measures. In segmented markets, we explore the implications of cooperation on dynamic risk measurement, focusing particularly on aggregation and time consistency.
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