What risk measures are time consistent for all filtrations?
Risk Management
2010-07-06 v1 Probability
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.
Keywords
Cite
@article{arxiv.1007.0610,
title = {What risk measures are time consistent for all filtrations?},
author = {Samuel N. Cohen},
journal= {arXiv preprint arXiv:1007.0610},
year = {2010}
}
Comments
8 pages