Multi-portfolio time consistency for set-valued convex and coherent risk measures
Abstract Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^{p}({\varOmega,\mathcal{F},\mathbb{P}; \mathbb{R}^{d}})$ with image space in the power set of $L^{p}({\varOmega,\mathcal{F}_{t},\mathbb{P}; \mathbb{R}^{...
Ausführliche Beschreibung
Autor*in: |
Feinstein, Zachary [verfasserIn] |
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Format: |
Artikel |
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Sprache: |
Englisch |
Erschienen: |
2014 |
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Schlagwörter: |
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Anmerkung: |
© Springer-Verlag Berlin Heidelberg 2014 |
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Übergeordnetes Werk: |
Enthalten in: Finance and stochastics - Springer Berlin Heidelberg, 1997, 19(2014), 1 vom: 18. Okt., Seite 67-107 |
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Übergeordnetes Werk: |
volume:19 ; year:2014 ; number:1 ; day:18 ; month:10 ; pages:67-107 |
Links: |
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DOI / URN: |
10.1007/s00780-014-0247-6 |
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Katalog-ID: |
OLC2051367183 |
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520 | |a Abstract Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^{p}({\varOmega,\mathcal{F},\mathbb{P}; \mathbb{R}^{d}})$ with image space in the power set of $L^{p}({\varOmega,\mathcal{F}_{t},\mathbb{P}; \mathbb{R}^{d}})$. In the convex case, multi-portfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty functions. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the dual variables. As examples, the set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions; the set of superhedging portfolios is shown to have in markets with proportional transaction costs the stability property and to satisfy in markets with convex transaction costs the composed cocycle condition; and a multi-portfolio time-consistent version of the set-valued average value at risk, the composed AVR, is given, and its dual representation deduced. | ||
650 | 4 | |a Dynamic risk measures | |
650 | 4 | |a Transaction costs | |
650 | 4 | |a Set-valued risk measures | |
650 | 4 | |a Time consistency | |
650 | 4 | |a Multi-portfolio time consistency | |
650 | 4 | |a Stability | |
700 | 1 | |a Rudloff, Birgit |4 aut | |
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10.1007/s00780-014-0247-6 doi (DE-627)OLC2051367183 (DE-He213)s00780-014-0247-6-p DE-627 ger DE-627 rakwb eng 330 VZ 650 510 VZ Feinstein, Zachary verfasserin aut Multi-portfolio time consistency for set-valued convex and coherent risk measures 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^{p}({\varOmega,\mathcal{F},\mathbb{P}; \mathbb{R}^{d}})$ with image space in the power set of $L^{p}({\varOmega,\mathcal{F}_{t},\mathbb{P}; \mathbb{R}^{d}})$. In the convex case, multi-portfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty functions. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the dual variables. As examples, the set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions; the set of superhedging portfolios is shown to have in markets with proportional transaction costs the stability property and to satisfy in markets with convex transaction costs the composed cocycle condition; and a multi-portfolio time-consistent version of the set-valued average value at risk, the composed AVR, is given, and its dual representation deduced. Dynamic risk measures Transaction costs Set-valued risk measures Time consistency Multi-portfolio time consistency Stability Rudloff, Birgit aut Enthalten in Finance and stochastics Springer Berlin Heidelberg, 1997 19(2014), 1 vom: 18. Okt., Seite 67-107 (DE-627)221128522 (DE-600)1356339-7 (DE-576)056993501 0949-2984 nnns volume:19 year:2014 number:1 day:18 month:10 pages:67-107 https://doi.org/10.1007/s00780-014-0247-6 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-MAT SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_24 GBV_ILN_26 GBV_ILN_32 GBV_ILN_70 GBV_ILN_2004 GBV_ILN_2012 GBV_ILN_2018 GBV_ILN_2030 GBV_ILN_2088 GBV_ILN_4012 GBV_ILN_4028 GBV_ILN_4036 GBV_ILN_4266 GBV_ILN_4277 GBV_ILN_4311 GBV_ILN_4318 AR 19 2014 1 18 10 67-107 |
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10.1007/s00780-014-0247-6 doi (DE-627)OLC2051367183 (DE-He213)s00780-014-0247-6-p DE-627 ger DE-627 rakwb eng 330 VZ 650 510 VZ Feinstein, Zachary verfasserin aut Multi-portfolio time consistency for set-valued convex and coherent risk measures 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^{p}({\varOmega,\mathcal{F},\mathbb{P}; \mathbb{R}^{d}})$ with image space in the power set of $L^{p}({\varOmega,\mathcal{F}_{t},\mathbb{P}; \mathbb{R}^{d}})$. In the convex case, multi-portfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty functions. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the dual variables. As examples, the set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions; the set of superhedging portfolios is shown to have in markets with proportional transaction costs the stability property and to satisfy in markets with convex transaction costs the composed cocycle condition; and a multi-portfolio time-consistent version of the set-valued average value at risk, the composed AVR, is given, and its dual representation deduced. Dynamic risk measures Transaction costs Set-valued risk measures Time consistency Multi-portfolio time consistency Stability Rudloff, Birgit aut Enthalten in Finance and stochastics Springer Berlin Heidelberg, 1997 19(2014), 1 vom: 18. Okt., Seite 67-107 (DE-627)221128522 (DE-600)1356339-7 (DE-576)056993501 0949-2984 nnns volume:19 year:2014 number:1 day:18 month:10 pages:67-107 https://doi.org/10.1007/s00780-014-0247-6 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-MAT SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_24 GBV_ILN_26 GBV_ILN_32 GBV_ILN_70 GBV_ILN_2004 GBV_ILN_2012 GBV_ILN_2018 GBV_ILN_2030 GBV_ILN_2088 GBV_ILN_4012 GBV_ILN_4028 GBV_ILN_4036 GBV_ILN_4266 GBV_ILN_4277 GBV_ILN_4311 GBV_ILN_4318 AR 19 2014 1 18 10 67-107 |
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10.1007/s00780-014-0247-6 doi (DE-627)OLC2051367183 (DE-He213)s00780-014-0247-6-p DE-627 ger DE-627 rakwb eng 330 VZ 650 510 VZ Feinstein, Zachary verfasserin aut Multi-portfolio time consistency for set-valued convex and coherent risk measures 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^{p}({\varOmega,\mathcal{F},\mathbb{P}; \mathbb{R}^{d}})$ with image space in the power set of $L^{p}({\varOmega,\mathcal{F}_{t},\mathbb{P}; \mathbb{R}^{d}})$. In the convex case, multi-portfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty functions. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the dual variables. As examples, the set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions; the set of superhedging portfolios is shown to have in markets with proportional transaction costs the stability property and to satisfy in markets with convex transaction costs the composed cocycle condition; and a multi-portfolio time-consistent version of the set-valued average value at risk, the composed AVR, is given, and its dual representation deduced. Dynamic risk measures Transaction costs Set-valued risk measures Time consistency Multi-portfolio time consistency Stability Rudloff, Birgit aut Enthalten in Finance and stochastics Springer Berlin Heidelberg, 1997 19(2014), 1 vom: 18. Okt., Seite 67-107 (DE-627)221128522 (DE-600)1356339-7 (DE-576)056993501 0949-2984 nnns volume:19 year:2014 number:1 day:18 month:10 pages:67-107 https://doi.org/10.1007/s00780-014-0247-6 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-MAT SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_24 GBV_ILN_26 GBV_ILN_32 GBV_ILN_70 GBV_ILN_2004 GBV_ILN_2012 GBV_ILN_2018 GBV_ILN_2030 GBV_ILN_2088 GBV_ILN_4012 GBV_ILN_4028 GBV_ILN_4036 GBV_ILN_4266 GBV_ILN_4277 GBV_ILN_4311 GBV_ILN_4318 AR 19 2014 1 18 10 67-107 |
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10.1007/s00780-014-0247-6 doi (DE-627)OLC2051367183 (DE-He213)s00780-014-0247-6-p DE-627 ger DE-627 rakwb eng 330 VZ 650 510 VZ Feinstein, Zachary verfasserin aut Multi-portfolio time consistency for set-valued convex and coherent risk measures 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^{p}({\varOmega,\mathcal{F},\mathbb{P}; \mathbb{R}^{d}})$ with image space in the power set of $L^{p}({\varOmega,\mathcal{F}_{t},\mathbb{P}; \mathbb{R}^{d}})$. In the convex case, multi-portfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty functions. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the dual variables. As examples, the set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions; the set of superhedging portfolios is shown to have in markets with proportional transaction costs the stability property and to satisfy in markets with convex transaction costs the composed cocycle condition; and a multi-portfolio time-consistent version of the set-valued average value at risk, the composed AVR, is given, and its dual representation deduced. Dynamic risk measures Transaction costs Set-valued risk measures Time consistency Multi-portfolio time consistency Stability Rudloff, Birgit aut Enthalten in Finance and stochastics Springer Berlin Heidelberg, 1997 19(2014), 1 vom: 18. Okt., Seite 67-107 (DE-627)221128522 (DE-600)1356339-7 (DE-576)056993501 0949-2984 nnns volume:19 year:2014 number:1 day:18 month:10 pages:67-107 https://doi.org/10.1007/s00780-014-0247-6 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-MAT SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_24 GBV_ILN_26 GBV_ILN_32 GBV_ILN_70 GBV_ILN_2004 GBV_ILN_2012 GBV_ILN_2018 GBV_ILN_2030 GBV_ILN_2088 GBV_ILN_4012 GBV_ILN_4028 GBV_ILN_4036 GBV_ILN_4266 GBV_ILN_4277 GBV_ILN_4311 GBV_ILN_4318 AR 19 2014 1 18 10 67-107 |
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10.1007/s00780-014-0247-6 doi (DE-627)OLC2051367183 (DE-He213)s00780-014-0247-6-p DE-627 ger DE-627 rakwb eng 330 VZ 650 510 VZ Feinstein, Zachary verfasserin aut Multi-portfolio time consistency for set-valued convex and coherent risk measures 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^{p}({\varOmega,\mathcal{F},\mathbb{P}; \mathbb{R}^{d}})$ with image space in the power set of $L^{p}({\varOmega,\mathcal{F}_{t},\mathbb{P}; \mathbb{R}^{d}})$. In the convex case, multi-portfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty functions. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the dual variables. As examples, the set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions; the set of superhedging portfolios is shown to have in markets with proportional transaction costs the stability property and to satisfy in markets with convex transaction costs the composed cocycle condition; and a multi-portfolio time-consistent version of the set-valued average value at risk, the composed AVR, is given, and its dual representation deduced. Dynamic risk measures Transaction costs Set-valued risk measures Time consistency Multi-portfolio time consistency Stability Rudloff, Birgit aut Enthalten in Finance and stochastics Springer Berlin Heidelberg, 1997 19(2014), 1 vom: 18. Okt., Seite 67-107 (DE-627)221128522 (DE-600)1356339-7 (DE-576)056993501 0949-2984 nnns volume:19 year:2014 number:1 day:18 month:10 pages:67-107 https://doi.org/10.1007/s00780-014-0247-6 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-MAT SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_24 GBV_ILN_26 GBV_ILN_32 GBV_ILN_70 GBV_ILN_2004 GBV_ILN_2012 GBV_ILN_2018 GBV_ILN_2030 GBV_ILN_2088 GBV_ILN_4012 GBV_ILN_4028 GBV_ILN_4036 GBV_ILN_4266 GBV_ILN_4277 GBV_ILN_4311 GBV_ILN_4318 AR 19 2014 1 18 10 67-107 |
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Feinstein, Zachary |
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ddc 330 ddc 650 misc Dynamic risk measures misc Transaction costs misc Set-valued risk measures misc Time consistency misc Multi-portfolio time consistency misc Stability |
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Multi-portfolio time consistency for set-valued convex and coherent risk measures |
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Multi-portfolio time consistency for set-valued convex and coherent risk measures |
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multi-portfolio time consistency for set-valued convex and coherent risk measures |
title_auth |
Multi-portfolio time consistency for set-valued convex and coherent risk measures |
abstract |
Abstract Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^{p}({\varOmega,\mathcal{F},\mathbb{P}; \mathbb{R}^{d}})$ with image space in the power set of $L^{p}({\varOmega,\mathcal{F}_{t},\mathbb{P}; \mathbb{R}^{d}})$. In the convex case, multi-portfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty functions. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the dual variables. As examples, the set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions; the set of superhedging portfolios is shown to have in markets with proportional transaction costs the stability property and to satisfy in markets with convex transaction costs the composed cocycle condition; and a multi-portfolio time-consistent version of the set-valued average value at risk, the composed AVR, is given, and its dual representation deduced. © Springer-Verlag Berlin Heidelberg 2014 |
abstractGer |
Abstract Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^{p}({\varOmega,\mathcal{F},\mathbb{P}; \mathbb{R}^{d}})$ with image space in the power set of $L^{p}({\varOmega,\mathcal{F}_{t},\mathbb{P}; \mathbb{R}^{d}})$. In the convex case, multi-portfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty functions. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the dual variables. As examples, the set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions; the set of superhedging portfolios is shown to have in markets with proportional transaction costs the stability property and to satisfy in markets with convex transaction costs the composed cocycle condition; and a multi-portfolio time-consistent version of the set-valued average value at risk, the composed AVR, is given, and its dual representation deduced. © Springer-Verlag Berlin Heidelberg 2014 |
abstract_unstemmed |
Abstract Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^{p}({\varOmega,\mathcal{F},\mathbb{P}; \mathbb{R}^{d}})$ with image space in the power set of $L^{p}({\varOmega,\mathcal{F}_{t},\mathbb{P}; \mathbb{R}^{d}})$. In the convex case, multi-portfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty functions. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the dual variables. As examples, the set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions; the set of superhedging portfolios is shown to have in markets with proportional transaction costs the stability property and to satisfy in markets with convex transaction costs the composed cocycle condition; and a multi-portfolio time-consistent version of the set-valued average value at risk, the composed AVR, is given, and its dual representation deduced. © Springer-Verlag Berlin Heidelberg 2014 |
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Multi-portfolio time consistency for set-valued convex and coherent risk measures |
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