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 language | English |
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Pages (from-to) | 1473-1489 |
Number of pages | 17 |
Journal | Quantitative Finance |
Volume | 13 |
Issue number | 9 |
DOIs | |
State | Published - Sep 2013 |
Keywords
- Dynamic models
- Multivariate contingent claims
- Risk measures
- Transaction costs