Time consistency of dynamic risk measures in markets with transaction costs

Zachary Feinstein, Birgit Rudloff

Research output: Contribution to journalArticlepeer-review

27 Scopus citations

Abstract

Set-valued dynamic risk measures are defined on with and with an image space in the power set of. 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.

Original languageEnglish
Pages (from-to)1473-1489
Number of pages17
JournalQuantitative Finance
Volume13
Issue number9
DOIs
StatePublished - Sep 2013

Keywords

  • Dynamic models
  • Multivariate contingent claims
  • Risk measures
  • Transaction costs

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