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Quantitative Finance Volume 13, 2013 - Issue 9
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Research Papers

Time consistency of dynamic risk measures in markets with transaction costs

Zachary Feinstein Department of Operations Research and Financial Engineering, Princeton University and Bendheim Center for Finance, NJ 08544, Princeton, USA
&
Birgit RudloffCorrespondence[email protected]
Pages 1473-1489 | Received 19 Oct 2012, Accepted 27 Feb 2013, Published online: 26 Jun 2013

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Zachary Feinstein & Birgit Rudloff. (2018) A supermartingale relation for multivariate risk measures. Quantitative Finance 18:12, pages 1971-1990.
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Articles from other publishers (26)

Yanhong Chen & Zachary Feinstein. (2022) Set-valued dynamic risk measures for processes and for vectors. Finance and Stochastics 26:3, pages 505-533.
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FEI SUN, KUI LUO & YU FENG. (2022) MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES. International Journal of Theoretical and Applied Finance 25:04n05.
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Zachary Feinstein & Birgit Rudloff. (2022) Scalar Multivariate Risk Measures with a Single Eligible Asset. Mathematics of Operations Research 47:2, pages 899-922.
Crossref
Linhai Wei & Yijun Hu. (2022) Capital allocation with multivariate convex risk measures. Journal of Industrial and Management Optimization 0:0, pages 0-0.
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Andreas H. Hamel & Frank Heyde. (2021) Set-Valued T-Translative Functions and Their Applications in Finance. Mathematics 9:18, pages 2270.
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EMMANUEL LEPINETTE & DUC THINH VU. (2021) COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION. International Journal of Theoretical and Applied Finance 24:06n07.
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Jin MaTing-Kam Leonard Wong & Jianfeng Zhang. (2021) Time-Consistent Conditional Expectation Under Probability Distortion. Mathematics of Operations Research 46:3, pages 1149-1180.
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Zachary Feinstein & Birgit Rudloff. (2021) Time consistency for scalar multivariate risk measures. Statistics & Risk Modeling 38:3-4, pages 71-90.
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Alessandro Doldi & Marco Frittelli. (2021) Real-Valued Systemic Risk Measures. Mathematics 9:9, pages 1016.
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Alessandro Doldi & Marco Frittelli. (2021) Conditional Systemic Risk Measures. SIAM Journal on Financial Mathematics 12:4, pages 1459-1507.
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Çağın Ararat & Zachary Feinstein. (2020) Set-valued risk measures as backward stochastic difference inclusions and equations. Finance and Stochastics 25:1, pages 43-76.
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Cosimo Munari. (2020) Multi-utility representations of incomplete preferences induced by set-valued risk measures. Finance and Stochastics 25:1, pages 77-99.
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YANHONG CHEN & YIJUN HU. (2020) SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES. International Journal of Theoretical and Applied Finance 23:03, pages 2050017.
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FRANCESCA CENTRONE & EMANUELA ROSAZZA GIANIN. (2020) CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES. International Journal of Theoretical and Applied Finance 23:01, pages 2050009.
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YANHONG CHEN & YIJUN HU. (2019) SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES. International Journal of Theoretical and Applied Finance 22:03, pages 1950004.
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Fei Sun & Yijun Hu. (2018) SET-VALUED CASH SUB-ADDITIVE RISK MEASURES. Probability in the Engineering and Informational Sciences 33:2, pages 241-257.
Crossref
Yanhong Chen & Yijun Hu. (2017) Time consistency for set-valued dynamic risk measures for bounded discrete-time processes. Mathematics and Financial Economics 12:3, pages 305-333.
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Chandrasekhar Karnam, Jin Ma & Jianfeng Zhang. (2017) Dynamic approaches for some time-inconsistent optimization problems. The Annals of Applied Probability 27:6.
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Tomasz R. Bielecki, Igor Cialenco & Marcin Pitera. (2017) A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective. Probability, Uncertainty and Quantitative Risk 2:1.
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ÇAĞIN ARARAT, ANDREAS H. HAMEL & BIRGIT RUDLOFF. (2017) SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES. International Journal of Theoretical and Applied Finance 20:05, pages 1750026.
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Zachary Feinstein & Birgit Rudloff. (2016) A recursive algorithm for multivariate risk measures and a set-valued Bellman’s principle. Journal of Global Optimization 68:1, pages 47-69.
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Zachary Feinstein & Birgit Rudloff. (2014) Multi-portfolio time consistency for set-valued convex and coherent risk measures. Finance and Stochastics 19:1, pages 67-107.
Crossref
Zachary Feinstein & Birgit Rudloff. 2015. Set Optimization and Applications - The State of the Art. Set Optimization and Applications - The State of the Art 3 41 .
ANDREAS LÖHNE & BIRGIT RUDLOFF. (2014) AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS. International Journal of Theoretical and Applied Finance 17:02, pages 1450012.
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Yuri Kabanov & Emmanuel Lépinette. (2013) Essential supremum with respect to a random partial order. Journal of Mathematical Economics 49:6, pages 478-487.
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Francesca Centrone & Emanuela Rosazza Gianin. (2019) Capital Allocation for Set-Valued Risk Measures. SSRN Electronic Journal.
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