Time consistency of dynamic risk measures in markets with transaction costs

Zachary Feinstein and Birgit Rudloff

Quantitative Finance, 2013, vol. 13, issue 9, 1473-1489

Abstract: Set-valued dynamic risk measures are defined on with and with an image space in the power set of . Primal and dual representations of dynamic risk measures are deduced. Definitions of different time consistency properties in the set-valued framework are given. It is shown that the recursive form for multivariate risk measures as well as an additive property for the acceptance sets is equivalent to a stronger time consistency property called multi-portfolio time consistency.

Date: 2013
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DOI: 10.1080/14697688.2013.781668

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