Publikation:

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

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)
DOI (zitierfähiger Link)
https://doi.org/10.1142/S0219024911006292
ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung

Sammlungen

Mathematik und Statistik: Publikationen
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published

Erschienen 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

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

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Verknüpfte Datensätze

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