Multi-portfolio time consistency for set-valued convex and coherent risk measures
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Publication:486928
DOI10.1007/S00780-014-0247-6zbMATH Open1311.91127arXiv1212.5563OpenAlexW2143663915MaRDI QIDQ486928FDOQ486928
Authors: Zachary Feinstein, Birgit Rudloff 
Publication date: 19 January 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Abstract: Equivalent characterizations of multiportfolio time consistency are deduced for closed convex and coherent set-valued risk measures on with image space in the power set of . In the convex case, multiportfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty functions. In the coherent case, multiportfolio time consistency is equivalent to a generalized version of stability of the dual variables. As examples, the set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions, the set of superhedging portfolios in markets with proportional transaction costs is shown to have the stability property and in markets with convex transaction costs is shown to satisfy the composed cocycle condition, and a multiportfolio time consistent version of the set-valued average value at risk, the composed AV@R, is given and its dual representation deduced.
Full work available at URL: https://arxiv.org/abs/1212.5563
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stabilitytransaction coststime consistencydynamic risk measuresset-valued risk measuresmulti-portfolio time consistency
Portfolio theory (91G10) Set-valued functions (26E25) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Financial applications of other theories (91G80) Duality theory for topological vector spaces (46A20)
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Cited In (29)
- Time consistency of dynamic risk measures in markets with transaction costs
- Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
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