Time consistency of dynamic risk measures in markets with transaction costs

Zachary Feinstein, Birgit Rudloff

Publikation: Wissenschaftliche FachzeitschriftOriginalbeitrag in FachzeitschriftBegutachtung

Abstract

Set-valued dynamic risk measures are defined on L^p_d(F_T ) with 0 ≤ p ≤ ∞ and with an image space in the power set of L^p_d(F_t). Primal and dual representations of dynamic risk measures are deduced. Definitions of different time consistency properties in the set-valued framework are given. It is shown that the recursive form for multivariate risk measures as well as an additive property for the acceptance sets is equivalent to a stronger time consistency property called multi-portfolio time consistency.
OriginalspracheEnglisch
Seiten (von - bis)1473 - 1489
FachzeitschriftQuantitative Finance
Jahrgang13
Ausgabenummer9
DOIs
PublikationsstatusVeröffentlicht - 2013

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