Weakly time consistent concave valuations and their dual representations
DOI10.1007/S00780-015-0285-8zbMATH Open1339.91064DBLPjournals/fs/RoordaS16OpenAlexW2180703783WikidataQ59480816 ScholiaQ59480816MaRDI QIDQ261920FDOQ261920
Authors: Berend Roorda, Johannes M. Schumacher 
Publication date: 29 March 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-015-0285-8
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dualityrisk aversionconcave valuationconditional consistencyconsistent risk aversionconvex risk measuresequential consistencyweak time consistency
Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Actuarial science and mathematical finance (91G99) Duality theory for topological vector spaces (46A20)
Cites Work
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- Coherent and convex monetary risk measures for unbounded càdlàg processes.
- Conditional and dynamic convex risk measures
- Membership conditions for consistent families of monetary valuations
- A new fusion procedure for the Brauer algebra and evaluation homomorphisms.
- Markets as a counterparty: an introduction to conic finance
- Convex risk measures and the dynamics of their penalty functions
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Title not available (Why is that?)
- Update rules for convex risk measures
- Two price economies in continuous time
- Dynamic risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Time consistency conditions for acceptability measures, with an application to tail value at risk
Cited In (7)
- Time-consistency of risk measures: how strong is such a property?
- Robust optimal control using conditional risk mappings in infinite horizon
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Monetary valuation of cash flows under Knightian uncertainty
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Conditional Systemic Risk Measures
- Controlled Markov decision processes with AVaR criteria for unbounded costs
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