Commonotonicity and time consistency for Lebesgue continuous monetary utility functions
Probability
2019-04-10 v1
Abstract
It is proved that commonotonicity and time consistence for monetary utility functions do not go together. I also gives additional results on atomless and conditionally atomless probability spaces.
Keywords
Cite
@article{arxiv.1904.04522,
title = {Commonotonicity and time consistency for Lebesgue continuous monetary utility functions},
author = {Freddy Delbaen},
journal= {arXiv preprint arXiv:1904.04522},
year = {2019}
}