Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes
نویسندگان
چکیده
منابع مشابه
Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of monetary risk measures time-consistent if it assigns to a process of financial values the same risk irrespective of whether it is calculated directly or in two ste...
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In discrete time, every time-consistent dynamic monetary risk measure can be written as a composition of one-step risk measures. We exploit this structure to give new dual representation results for time-consistent convex monetary risk measures in terms of one-step penalty functions. We first study risk measures for random variables modelling financial positions at a fixed future time. Then we ...
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ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 2006
ISSN: 1083-6489
DOI: 10.1214/ejp.v11-302