Composition of Time-Consistent Dynamic Monetary Risk Measures in Discrete Time

No Thumbnail Available
Files
There are no files associated with this item.
Date
2011
Authors
Cheridito, Patrick
Editors
Contact
Journal ISSN
Electronic ISSN
ISBN
Bibliographical data
Publisher
Series
URI (citable link)
DOI (citable link)
ArXiv-ID
International patent number
Link to the license
EU project number
Project
Open Access publication
Restricted until
Title in another language
Research Projects
Organizational Units
Journal Issue
Publication type
Journal article
Publication status
Published
Published in
International Journal of Theoretical and Applied Finance ; 14 (2011), 1. - pp. 137-162. - World Scientific Publishing. - ISSN 0219-0249. - eISSN 1793-6322
Abstract
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 consider the more general case of risk measures that depend on stochastic processes describing the evolution of financial positions or cumulated cash flows. In both cases the new representations allow for a simple composition of one-step risk measures in the dual. We discuss several explicit examples and provide connections to the recently introduced class of dynamic variational preferences.
Summary in another language
Subject (DDC)
510 Mathematics
Keywords
Dynamic risk measures, time-consistency, dual representations
Conference
Review
undefined / . - undefined, undefined. - (undefined; undefined)
Cite This
ISO 690CHERIDITO, Patrick, Michael KUPPER, 2011. Composition of Time-Consistent Dynamic Monetary Risk Measures in Discrete Time. In: International Journal of Theoretical and Applied Finance. World Scientific Publishing. 14(1), pp. 137-162. ISSN 0219-0249. eISSN 1793-6322. Available under: doi: 10.1142/S0219024911006292
BibTex
@article{Cheridito2011Compo-55459,
  year={2011},
  doi={10.1142/S0219024911006292},
  title={Composition of Time-Consistent Dynamic Monetary Risk Measures in Discrete Time},
  number={1},
  volume={14},
  issn={0219-0249},
  journal={International Journal of Theoretical and Applied Finance},
  pages={137--162},
  author={Cheridito, Patrick and Kupper, Michael}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/55459">
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <dcterms:abstract xml:lang="eng">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 consider the more general case of risk measures that depend on stochastic processes describing the evolution of financial positions or cumulated cash flows. In both cases the new representations allow for a simple composition of one-step risk measures in the dual. We discuss several explicit examples and provide connections to the recently introduced class of dynamic variational preferences.</dcterms:abstract>
    <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/55459"/>
    <dc:contributor>Kupper, Michael</dc:contributor>
    <dc:creator>Kupper, Michael</dc:creator>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2021-11-08T09:06:39Z</dc:date>
    <dc:rights>terms-of-use</dc:rights>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2021-11-08T09:06:39Z</dcterms:available>
    <dc:contributor>Cheridito, Patrick</dc:contributor>
    <dc:language>eng</dc:language>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dc:creator>Cheridito, Patrick</dc:creator>
    <dcterms:issued>2011</dcterms:issued>
    <dcterms:title>Composition of Time-Consistent Dynamic Monetary Risk Measures in Discrete Time</dcterms:title>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
  </rdf:Description>
</rdf:RDF>
Internal note
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Contact
URL of original publication
Test date of URL
Examination date of dissertation
Method of financing
Comment on publication
Alliance license
Corresponding Authors der Uni Konstanz vorhanden
International Co-Authors
Bibliography of Konstanz
No
Refereed
Yes