Quotation Feinstein, Zachary, Rudloff, Birgit. 2013. Time consistency of dynamic risk measures in markets with transaction costs. Quantitative Finance 13 (9): S. 1473-1489.


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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.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Quantitative Finance
Citation Index SSCI
WU-Journal-Rating new FIN-A, STRAT-B, VW-C, WH-B
Language English
Title Time consistency of dynamic risk measures in markets with transaction costs
Volume 13
Number 9
Year 2013
Page from 1473
Page to 1489
Reviewed? Y
URL http://www.tandfonline.com/doi/full/10.1080/14697688.2013.781668
DOI http://dx.doi.org/10.1080/14697688.2013.781668

Associations

People
Rudloff, Birgit (Details)
External
Feinstein, Zachary (Washington University in St. Louis, United States/USA)
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