Conditional and dynamic convex risk measures
Kai Detlefsen (detlefsen@wiwi.hu-berlin.de) and
Giacomo Scandolo (giacomo.scandolo@unifi.it)
Finance and Stochastics, 2005, vol. 9, issue 4, 539-561
Abstract:
We extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. A suitable regularity property of conditional risk measures is defined and discussed. Finally, we introduce the concept of a dynamic convex risk measure as a family of successive conditional convex risk measures and characterize those satisfying some natural time consistency properties. As a reference example, illustrating all the proposed developments, we introduce a suitably defined dynamic version of the class of entropic risk measures. Copyright Springer-Verlag Berlin/Heidelberg 2005
Keywords: Conditional convex risk measure; robust representation; entropic risk measure; dynamic convex risk measure; time-consistency (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561
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DOI: 10.1007/s00780-005-0159-6
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