Feinstein, Zachary; Rudloff, Birgit - In: Statistics & Risk Modeling 38 (2022) 3-4, pp. 71-90
main results of this paper on time consistency; namely, an equivalent recursive formulation of multivariate scalar risk … measures to multiportfolio time consistency. We are motivated to study time consistency of multivariate scalar risk measures as …), Löhne and Rudloff (2014), Roux and Zastawniak (2016)) does not satisfy the usual scalar concept of time consistency. In fact …