On representing claims for coherent risk measures
| dc.creator | Jacka, Saul | |
| dc.creator | Berkaoui, Abdelkarem | |
| dc.date | 2007-08-03 | |
| dc.date.accessioned | 2026-07-07T08:22:05Z | |
| dc.date.available | 2026-07-07T08:22:05Z | |
| dc.description | We consider the problem of representing claims for coherent risk measures. For this purpose we introduce the concept of (weak and strong) time-consistency with respect to a portfolio of assets, generalizing the one defined by Delbaen. In a similar way we extend the notion of m-stability, by introducing weak and strong versions. We then prove that the two concepts of m-stability and time-consistency are still equivalent, thus giving necessary and sufficient conditions for a coherent risk measure to be represented by a market with proportional transaction costs. We go on to deduce that, under a separability assumption, any coherent risk measure is strongly time-consistent with respect to a suitably chosen countable portfolio, and show the converse: that any market with proportional transaction costs is equivalent to a market priced by a coherent risk measure, essentially establishing the equivalence of the two concepts. | |
| dc.description | 47 pages | |
| dc.identifier | https://arxiv.org/abs/0708.0512 | |
| dc.identifier | http://arxiv.org/abs/0708.0512 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/135533 | |
| dc.subject | Probability | |
| dc.subject | 91B24, 60E05 | |
| dc.title | On representing claims for coherent risk measures | |
| dc.type | text |