Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions

DOI10.1007/S00780-021-00459-2zbMATH Open1470.91108arXiv1904.04522OpenAlexW3176160019MaRDI QIDQ2049554FDOQ2049554

Authors: Freddy Delbaen 

Publication date: 27 August 2021

Published in: Finance and Stochastics (Search for Journal in Brave)

Abstract: It is proved that commonotonicity and time consistence for monetary utility functions do not go together. I also gives additional results on atomless and conditionally atomless probability spaces.

Full work available at URL: https://arxiv.org/abs/1904.04522

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zbMATH Keywords

time-consistencycommonotonicityatomless probability spaces

Mathematics Subject Classification ID

Utility theory (91B16) Actuarial science and mathematical finance (91G99)

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Cited In (12)

• Scenario-based risk evaluation
• Asymptotically stable dynamic risk assessments
• Scenario aggregation method for portfolio expectile optimization
• Convex functions on dual Orlicz spaces
• Monetary risk measures for stochastic processes via Orlicz duality
• Law-invariant functionals that collapse to the mean: beyond convexity
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Seven proofs for the subadditivity of expected shortfall
• Risk Aversion in Regulatory Capital Principles
• Random distortion risk measures
• How Superadditive Can a Risk Measure Be?
• Acceptability indices of performance for bounded càdlàg processes

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