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

DOI10.1007/S00780-021-00459-2MaRDI QIDQ2049554zbMATHOpenAlexFDO

Authors Freddy Delbaen

Publication date 27 August 2021

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

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

zbMATH Keywords

time-consistencycommonotonicityatomless probability spaces

Mathematics Subject Classification ID

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

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.

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Cited in

(13)

• Scenario-based risk evaluation
• Membership conditions for consistent families of monetary valuations
• How superadditive can a risk measure be?
• Random distortion risk measures
• Seven proofs for the subadditivity of expected shortfall
• Risk aversion in regulatory capital principles
• Law-invariant functionals that collapse to the mean: beyond convexity
• Asymptotically stable dynamic risk assessments
• Scenario aggregation method for portfolio expectile optimization
• Convex functions on dual Orlicz spaces
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Monetary risk measures for stochastic processes via Orlicz duality
• Acceptability indices of performance for bounded càdlàg processes

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