Time consistency for set-valued dynamic risk measures for bounded discrete-time processes

DOI10.1007/s11579-017-0205-0zbMath1397.91595OpenAlexW2774244507MaRDI QIDQ1648896

Yan-Hong Chen, Hu, Yijun

Publication date: 5 July 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-017-0205-0

zbMATH Keywords

time consistencydynamic risk measuresset-valued risk measuresmulti-portfolio time consistencybounded discrete-time processes

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Set-valued functions (26E25)

Related Items (10)

Set-valued dynamic risk measures for processes and for vectors ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Capital allocation with multivariate convex risk measures ⋮ SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES ⋮ SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations ⋮ Time consistency for scalar multivariate risk measures ⋮ Conditional Systemic Risk Measures ⋮ Systemic risk statistics with scenario analysis ⋮ MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES

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