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On Dynamic Measures of Risk [PDF]

open access: possibleSSRN Electronic Journal, 1998
The paper deals with the situation when in a complete continuous-time financial market an agent starts with initial capital \(x\) less than the amount \(C(0)=E[C/S_0(T)]\) required for perfect hedging the liability (without risk) at terminal time \(t=T\).
Ioannis Karatzas, Jaksa Cvitanic
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