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

zbMATH Keywords

dualityrisk aversionconcave valuationconditional consistencyconsistent risk aversionconvex risk measuresequential consistencyweak time consistency

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 5710619 (Why is no real title available?)
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• Conditional and dynamic convex risk measures
• Convex risk measures and the dynamics of their penalty functions
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Dynamic monetary risk measures for bounded discrete-time processes
• Dynamic risk measures
• Markets as a counterparty: an introduction to conic finance
• Martingales and arbitage in securities markets with transaction costs
• Membership conditions for consistent families of monetary valuations
• Stochastic finance. An introduction in discrete time.
• Time consistency conditions for acceptability measures, with an application to tail value at risk
• Two price economies in continuous time
• Update rules for convex risk measures

Cited in

(9)

• Membership conditions for consistent families of monetary valuations
• Monetary valuation of cash flows under Knightian uncertainty
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Robust optimal control using conditional risk mappings in infinite horizon
• Controlled Markov decision processes with AVaR criteria for unbounded costs
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Time-consistency of risk measures: how strong is such a property?
• Are time consistent valuations information monotone?
• Conditional systemic risk measures

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