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Time consistency of dynamic risk measures in markets with transaction costs

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. "On evaluation of joint risk for non-negative multivariate risks under dependence uncertainty," Papers 2212.04848, arXiv.org, revised Apr 2025.
  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. Emmanuel Lepinette & Duc Thinh Vu, 2024. "Coherent Risk Measure on $L^0$: NA Condition, Pricing and Dual Representation," Papers 2405.06764, arXiv.org.
  10. Atiqah Almuzaini & c{C}au{g}{i}n Ararat & Jin Ma, 2025. "Superhedging under Proportional Transaction Costs in Continuous Time," Papers 2511.18169, arXiv.org.
  11. Igor Cialenco & Gabriela Kov'av{c}ov'a, 2024. "Vector-valued robust stochastic control," Papers 2407.00266, arXiv.org.
  12. 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.
  13. 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.
  14. Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
  15. Fei Sun & Jingchao Li & Jieming Zhou, 2018. "Dynamic risk measures with fluctuation of market volatility under Bochne-Lebesgue space," Papers 1806.01166, arXiv.org, revised Mar 2024.
  16. Bingchu Nie & Dejian Tian & Long Jiang, 2025. "Set-valued star-shaped risk measures," Mathematics and Financial Economics, Springer, volume 19, number 4, November.
  17. Zachary Feinstein & Birgit Rudloff, 2018. "Time consistency for scalar multivariate risk measures," Papers 1810.04978, arXiv.org, revised Nov 2021.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. Bingchu Nie & Dejian Tian & Long Jiang, 2024. "Set-valued Star-Shaped Risk Measures," Papers 2402.18014, arXiv.org, revised Feb 2025.
  26. 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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