2000 character limit reached
What risk measures are time consistent for all filtrations?
Published 5 Jul 2010 in q-fin.RM and math.PR | (1007.0610v1)
Abstract: We study coherent risk measures which are time-consistent for multiple filtrations. We show that a coherent risk measure is time-consistent for every filtration if and only if it is one of four main types. Furthermore, if the risk measure is strictly monotone it is linear, and if the reference probability space is not atomic then it is either linear or an essential supremum.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.