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Conditional and Dynamic Convex Risk Measures

Kai Detlefsen and Giacomo Scandolo

SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

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. As an example we consider the class of conditional entropic risk measures. A new 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.

Keywords: Conditional convex risk measure; robust representation; regularity; entropic risk measure; dynamic convex risk measure; time consistency (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2005-02
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (163)

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