Time consistency of dynamic risk measures in markets with transaction costs
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Publication:5397475
DOI10.1080/14697688.2013.781668zbMath1281.91162arXiv1201.1483OpenAlexW2169877676MaRDI QIDQ5397475
Birgit Rudloff, Zachary Feinstein
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1201.1483
Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items (24)
SET-VALUED CASH SUB-ADDITIVE RISK MEASURES ⋮ COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION ⋮ Time consistency for set-valued dynamic risk measures for bounded discrete-time processes ⋮ Set-valued dynamic risk measures for processes and for vectors ⋮ A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Essential supremum with respect to a random partial order ⋮ SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES ⋮ Dynamic approaches for some time-inconsistent optimization problems ⋮ Capital allocation with multivariate convex risk measures ⋮ SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES ⋮ A supermartingale relation for multivariate risk measures ⋮ Multi-portfolio time consistency for set-valued convex and coherent risk measures ⋮ SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations ⋮ Multi-utility representations of incomplete preferences induced by set-valued risk measures ⋮ Time-Consistent Conditional Expectation Under Probability Distortion ⋮ A Comparison of Techniques for Dynamic Multivariate Risk Measures ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES ⋮ AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS ⋮ Time consistency for scalar multivariate risk measures ⋮ Conditional Systemic Risk Measures ⋮ MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES
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