Representation of the penalty term of dynamic concave utilities

TL;DR

This paper provides a representation of the penalty term in dynamic concave utilities using g-expectations, enhancing understanding of dynamic risk measures.

Contribution

It introduces a novel representation of the penalty term for dynamic concave utilities through the application of g-expectations theory.

Findings

Representation of penalty term via g-expectations

Enhanced understanding of dynamic convex risk measures

Framework for analyzing dynamic risk preferences

Abstract

In this paper we will provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations.