Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions View Full Text


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Article Info

DATE

2021-06-30

AUTHORS

Freddy Delbaen

ABSTRACT

It is proved that monetary utility functions that are commonotonic and time-consistent are conditional expectations. We also give additional results on atomless and conditionally atomless probability spaces. These notions describe that in a filtration, there are many new events at each time step.

PAGES

597-614

References to SciGraph publications

  • 2015-10-01. Risk measures with the CxLS property in FINANCE AND STOCHASTICS
  • 2019-05-28. Distributional compatibility for change of measures in FINANCE AND STOCHASTICS
  • 2009-09-01. Representation results for law invariant time consistent functions in MATHEMATICS AND FINANCIAL ECONOMICS
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s00780-021-00459-2

    DOI

    http://dx.doi.org/10.1007/s00780-021-00459-2

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1139278065


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