Dynamic risk measures
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Publication:5198554
DOI10.1007/978-3-642-18412-3_1zbMATH Open1230.91065arXiv1002.3794OpenAlexW2096643160MaRDI QIDQ5198554FDOQ5198554
Authors: B. Acciaio, Irina Penner 
Publication date: 8 August 2011
Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)
Abstract: This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time consistency properties of dynamic risk measures in terms of acceptance sets, penalty functions, and by supermartingale properties of risk processes and penalty functions.
Full work available at URL: https://arxiv.org/abs/1002.3794
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