Defines resilience evaluation D^ρ π as the L1-limit of scaled dynamic risk measure applied to process increments, and derives its dual representation as worst-case conditional expectation of an effective drift when ρ arises from BSDEs with Lipschitz or quadratic drivers.
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Characterizes Nash equilibria for MMV portfolio problems via FBSDEs and extended HJBs, with MMV equilibria investing more than MV ones and gap narrowing over time.
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Financial Resilience Evaluation: From Conditional Expectations to Dynamic Convex Risk Measures
Defines resilience evaluation D^ρ π as the L1-limit of scaled dynamic risk measure applied to process increments, and derives its dual representation as worst-case conditional expectation of an effective drift when ρ arises from BSDEs with Lipschitz or quadratic drivers.
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Time-consistent portfolio selection with monotone mean-variance preferences
Characterizes Nash equilibria for MMV portfolio problems via FBSDEs and extended HJBs, with MMV equilibria investing more than MV ones and gap narrowing over time.