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

DOI10.1007/s00780-021-00459-2zbMath1470.91108arXiv1904.04522OpenAlexW3176160019MaRDI QIDQ2049554

Freddy Delbaen

Publication date: 27 August 2021

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.04522

zbMATH Keywords

time-consistencycommonotonicityatomless probability spaces

Mathematics Subject Classification ID

Utility theory (91B16) Actuarial science and mathematical finance (91G99)

Related Items (11)

Asymptotically stable dynamic risk assessments ⋮ Scenario aggregation method for portfolio expectile optimization ⋮ Monetary risk measures for stochastic processes via Orlicz duality ⋮ Law-invariant functionals that collapse to the mean: beyond convexity ⋮ How Superadditive Can a Risk Measure Be? ⋮ Acceptability indices of performance for bounded càdlàg processes ⋮ Risk Aversion in Regulatory Capital Principles ⋮ Seven proofs for the subadditivity of expected shortfall ⋮ Scenario-based risk evaluation ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Convex functions on dual Orlicz spaces

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