Representation results for law invariant time consistent functions
نویسندگان
چکیده
منابع مشابه
Representation results for law invariant time consistent functions
We show that the only dynamic risk measure which is law invariant, time consistent and relevant is the entropic one. Moreover, a real valued function c on L∞(a, b) is normalized, strictly monotone, continuous, law invariant, time consistent and has the Fatou property if and only if it is of the form c(X) = u−1 ◦ E [u(X)], where u : (a, b) → R is a strictly increasing, continuous function. The p...
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2009
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-009-0019-9