Scalar multivariate risk measures with a single eligible asset
From MaRDI portal
Publication:5085121
Abstract: In this paper we present results on scalar risk measures in markets with transaction costs. Such risk measures are defined as the minimal capital requirements in the cash asset. First, some results are provided on the dual representation of such risk measures, with particular emphasis given on the space of dual variables as (equivalent) martingale measures and prices consistent with the market model. Then, these dual representations are used to obtain the main results of this paper on time consistency for scalar risk measures in markets with frictions. It is well known from the superhedging risk measure in markets with transaction costs, as in Jouini and Kallal (1995), Roux and Zastawniak (2016), and Loehne and Rudloff (2014), that the usual scalar concept of time consistency is too strong and not satisfied. We will show that a weaker notion of time consistency can be defined, which corresponds to the usual scalar time consistency but under any fixed consistent pricing process. We will prove the equivalence of this weaker notion of time consistency and a certain type of backward recursion with respect to the underlying risk measure with a fixed consistent pricing process. Several examples are given, with special emphasis on the superhedging risk measure.
Recommendations
Cites work
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- A comparison of techniques for dynamic multivariate risk measures
- A duality theory for set-valued functions. I: Fenchel conjugation theory
- A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
- A supermartingale relation for multivariate risk measures
- A unified approach to systemic risk measures via acceptance sets
- American and Bermudan options in currency markets with proportional transaction costs
- An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
- Coherent and convex risk measures for portfolios with applications
- Coherent measures of risk
- Coherent multiperiod risk adjusted values and Bellman's principle
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Conditional Risk Mappings
- Conditional and dynamic convex risk measures
- Consistent risk measures for portfolio vectors
- Continuity and finite-valuedness of set-valued risk measures
- Convex measures of risk and trading constraints
- Convex risk measures and the dynamics of their penalty functions
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Derivative asset pricing with transaction costs: an extension
- Duality for set-valued measures of risk
- Dynamic approaches for some time-inconsistent optimization problems
- Dynamic coherent risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Dynamic risk measures
- Dynamic risk measures: Time consistency and risk measures from BMO martingales
- Dynamic systemic risk measures for bounded discrete time processes
- Existence, uniqueness, and stability of optimal payoffs of eligible assets
- Generalized coherent risk measures
- Hedging and liquidation under transaction costs in currency markets
- Hedging of claims with physical delivery under convex transaction costs
- Investment and consumption without commitment
- Law invariant risk measures and information divergences
- Liquidity, risk measures, and concentration of measure
- Liquidity-adjusted risk measures
- Markets with transaction costs. Mathematical theory.
- Martingales and arbitage in securities markets with transaction costs
- Mean-variance portfolio optimization with state-dependent risk aversion
- Measures of systemic risk
- Measuring risk with multiple eligible assets
- Multi-portfolio time consistency for set-valued convex and coherent risk measures
- On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
- On time-inconsistent stochastic control in continuous time
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Representation of the penalty term of dynamic concave utilities
- Risk Measures and Efficient use of Capital
- Set-valued risk measures for conical market models
- Stochastic finance. An introduction in discrete time.
- Strongly consistent multivariate conditional risk measures
- Systemic risk measures on general measurable spaces
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- The structure of \(m\)-stable sets and in particular of the set of risk neutral measures
- Theory of Random Sets
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Time consistency of dynamic risk measures in markets with transaction costs
- Time consistency of the mean-risk problem
- Time consistent dynamic risk processes
- Time-consistent stopping under decreasing impatience
- Update rules for convex risk measures
- Vector-valued coherent risk measure processes
- Vector-valued coherent risk measures
This page was built for publication: Scalar multivariate risk measures with a single eligible asset
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5085121)
