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

Lade...
Vorschaubild
Dateien
Zu diesem Dokument gibt es keine Dateien.
Datum
2011
Autor:innen
Cheridito, Patrick
Herausgeber:innen
Kontakt
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Schriftenreihe
Auflagebezeichnung
URI (zitierfähiger Link)
ArXiv-ID
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Core Facility der Universität Konstanz
Gesperrt bis
Titel in einer weiteren Sprache
Forschungsvorhaben
Organisationseinheiten
Zeitschriftenheft
Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published
Erschienen in
Zusammenfassung

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.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
Schlagwörter
Dynamic risk measures, time-consistency, dual representations
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
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. 2011, 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>
Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Kontakt
URL der Originalveröffentl.
Prüfdatum der URL
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Nein
Begutachtet
Ja
Diese Publikation teilen