# Multi-portfolio time consistency for set-valued convex and coherent risk measures

## Author(s): Feinstein, Zachary; Rudloff, Birgit

To refer to this page use: http://arks.princeton.edu/ark:/88435/pr1dr21
DC FieldValueLanguage
dc.contributor.authorFeinstein, Zachary-
dc.contributor.authorRudloff, Birgit-
dc.date.accessioned2020-02-24T20:52:59Z-
dc.date.available2020-02-24T20:52:59Z-
dc.date.issued2015-01en_US
dc.identifier.citationFeinstein, Zachary, Rudloff, Birgit. (2015). Multi-portfolio time consistency for set-valued convex and coherent risk measures. Finance and Stochastics, 19 (1), 67 - 107. doi:10.1007/s00780-014-0247-6en_US
dc.identifier.issn0949-2984-
dc.identifier.urihttp://arks.princeton.edu/ark:/88435/pr1dr21-
dc.description.abstractEquivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on L p d (Ω,F,P) with image space in the power set of L p d (Ω,Ft ,P). In the convex case, multi-portfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty functions. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the dual variables. As examples, the set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions, the set of superhedging portfolios in markets with proportional transaction costs is shown to have the stability property and in markets with convex transaction costs is shown to satisfy the composed cocycle condition, and a multi-portfolio time consistent version of the set-valued average value at risk, the composed AV@R, is given and its dual representation deduced.en_US
dc.format.extent67 - 107en_US
dc.language.isoen_USen_US
dc.relation.ispartofFinance and Stochasticsen_US
dc.rightsAuthor's manuscripten_US
dc.titleMulti-portfolio time consistency for set-valued convex and coherent risk measuresen_US
dc.typeJournal Articleen_US
dc.identifier.doidoi:10.1007/s00780-014-0247-6-
dc.date.eissued2014-10-18en_US
dc.identifier.eissn1432-1122-
pu.type.symplectichttp://www.symplectic.co.uk/publications/atom-terms/1.0/journal-articleen_US

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