Multi-portfolio time consistency for set-valued convex and coherent risk measures (Q486928)

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Multi-portfolio time consistency for set-valued convex and coherent risk measures
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    Multi-portfolio time consistency for set-valued convex and coherent risk measures (English)
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    19 January 2015
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    The authors take the setting from their recent paper [Quant. Finance 13, No. 9, 1473--1489 (2013; Zbl 1281.91162)], where the set-valued dynamic risk measures were discussed, and a set-valued version of time consistency, called multi-portfolio time consistency, was defined. Multi-portfolio time consistency was considered only for general risk measures, but not specifically for the convex or coherent cases. In the present paper, the main results describe equivalent properties of multi-portfolio time consistency for (conditionally) convex and coherent risk measures. As examples, they study super hedging under convex transaction costs in the convex case and the composed average value at risk (AVR) in the coherent case.
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    dynamic risk measures
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    transaction costs
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    set-valued risk measures
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    time consistency
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    multi-portfolio time consistency
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    stability
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