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.
Collective dynamic risk measures / A. Doldi, M. Frittelli, E.R. Gianin. - In: FRONTIERS OF MATHEMATICAL FINANCE. - ISSN 2769-6715. - (2024), pp. 1-24. [Epub ahead of print] [10.3934/fmf.2024012]
Collective dynamic risk measures
A. DoldiPrimo
;M. Frittelli
Secondo
;
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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