Weakly time consistent concave valuations and their dual representations

Berend Roorda () and Johannes Schumacher
Additional contact information
Berend Roorda: University of Twente

Finance and Stochastics, 2016, vol. 20, issue 1, No 5, 123-151

Abstract: Abstract We derive dual characterizations of two notions of weak time consistency for concave valuations, which are convex risk measures under a positive sign convention. Combined with a suitable risk aversion property, these notions are shown to amount to three simple rules for not necessarily minimal representations, describing precisely which features of a valuation determine its unique consistent update. A compatibility result shows that for a time-indexed sequence of valuations, it is sufficient to verify these rules only pairwise with respect to the initial valuation, or in discrete time, only stepwise. We conclude by describing classes of consistently risk averse dynamic valuations with prescribed static properties per time step. This gives rise to a new formalism for recursive valuation.

Keywords: Convex risk measures; Concave valuations; Duality; Weak time consistency; Risk aversion; 91B30; 91G99; 46A20; 46N10 (search for similar items in EconPapers)
JEL-codes: C61 D81 G22 G28 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s00780-015-0285-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Journal Article: Weakly time consistent concave valuations and their dual representations (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0285-8

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

DOI: 10.1007/s00780-015-0285-8

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().