Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions

Freddy Delbaen ()
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Freddy Delbaen: ETH Zürich

Finance and Stochastics, 2021, vol. 25, issue 3, No 6, 597-614

Abstract: Abstract It is proved that monetary utility functions that are commonotonic and time-consistent are conditional expectations. We also give additional results on atomless and conditionally atomless probability spaces. These notions describe that in a filtration, there are many new events at each time step.

Keywords: Time-consistency; Commonotonicity; Atomless probability spaces; 91B10; 91B16; 60A99 (search for similar items in EconPapers)
JEL-codes: C02 C71 G22 G32 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s00780-021-00459-2

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