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|Abstract:||Set-valued dynamic risk measures are defined on L p d (FT ) with 0 ≤ p ≤ ∞ and with an image space in the power set of L p d (Ft). Primal and dual representations of dynamic risk measures are deduced. Definitions of different time consistency properties in the set-valued framework are given. It is shown that the recursive form for multivariate risk measures as well as an additive property for the acceptance sets is equivalent to a stronger time consistency property called multi-portfolio time consistency.|
|Citation:||Feinstein, Zachary, Rudloff, Birgit. (2013). Time consistency of dynamic risk measures in markets with transaction costs. Quantitative Finance, 13 (9), 1473 - 1489. doi:10.1080/14697688.2013.781668|
|Pages:||1473 - 1489|
|Type of Material:||Journal Article|
|Journal/Proceeding Title:||Quantitative Finance|
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