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Time consistency of dynamic risk measures in markets with transaction costs

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  • Zachary Feinstein
  • Birgit Rudloff

Abstract

Set-valued dynamic risk measures are defined on with and with an image space in the power set of . 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.

Suggested Citation

  • Zachary Feinstein & Birgit Rudloff, 2013. "Time consistency of dynamic risk measures in markets with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1473-1489, September.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:9:p:1473-1489
    DOI: 10.1080/14697688.2013.781668
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    References listed on IDEAS

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    11. repec:dau:papers:123456789/353 is not listed on IDEAS
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    Citations

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    Cited by:

    1. Francesca Centrone & Emanuela Rosazza Gianin, 2020. "Capital Allocation For Set-Valued Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-16, February.
    2. Yanhong Chen & Yijun Hu, 2019. "Set-Valued Law Invariant Coherent And Convex Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-18, May.
    3. Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "Risk measurement of joint risk of portfolios: a liquidity shortfall aspect," Papers 2212.04848, arXiv.org.
    4. Cosimo Munari, 2020. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Papers 2009.04151, arXiv.org.
    5. Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
    6. Yanhong Chen & Zachary Feinstein, 2022. "Set-valued dynamic risk measures for processes and for vectors," Finance and Stochastics, Springer, vol. 26(3), pages 505-533, July.
    7. Zachary Feinstein & Birgit Rudloff, 2015. "A Supermartingale Relation for Multivariate Risk Measures," Papers 1510.05561, arXiv.org, revised Jan 2018.
    8. Yanhong Chen & Zachary Feinstein, 2021. "Set-Valued Dynamic Risk Measures for Processes and Vectors," Papers 2103.00905, arXiv.org, revised Nov 2021.
    9. Cosimo Munari, 2021. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Finance and Stochastics, Springer, vol. 25(1), pages 77-99, January.
    10. Çağin Ararat & Andreas H. Hamel & Birgit Rudloff, 2017. "Set-Valued Shortfall And Divergence Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-48, August.
    11. Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
    12. Fei Sun & Jieming Zhou, 2018. "Dynamic risk measures with markets volatility," Papers 1806.01166, arXiv.org, revised May 2022.
    13. Zachary Feinstein & Birgit Rudloff, 2018. "Time consistency for scalar multivariate risk measures," Papers 1810.04978, arXiv.org, revised Nov 2021.
    14. Andreas H. Hamel & Frank Heyde, 2021. "Set-Valued T -Translative Functions and Their Applications in Finance," Mathematics, MDPI, vol. 9(18), pages 1-33, September.
    15. c{C}au{g}{i}n Ararat & Zachary Feinstein, 2019. "Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations," Papers 1912.06916, arXiv.org, revised Sep 2020.
    16. Zachary Feinstein & Birgit Rudloff, 2017. "A recursive algorithm for multivariate risk measures and a set-valued Bellman’s principle," Journal of Global Optimization, Springer, vol. 68(1), pages 47-69, May.
    17. Çağın Ararat & Zachary Feinstein, 2021. "Set-valued risk measures as backward stochastic difference inclusions and equations," Finance and Stochastics, Springer, vol. 25(1), pages 43-76, January.
    18. c{C}au{g}{i}n Ararat & Andreas H. Hamel & Birgit Rudloff, 2014. "Set-valued shortfall and divergence risk measures," Papers 1405.4905, arXiv.org, revised Sep 2017.
    19. Zachary Feinstein & Birgit Rudloff, 2015. "A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle," Papers 1508.02367, arXiv.org, revised Jul 2016.
    20. Zachary Feinstein & Birgit Rudloff, 2015. "Multi-portfolio time consistency for set-valued convex and coherent risk measures," Finance and Stochastics, Springer, vol. 19(1), pages 67-107, January.
    21. Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Jan 2015.

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