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 in Delbaen [7]. In a similar way we extend the notion of m-stability, by...

In the first part of this paper, we introduce the notion of switch-stability for set of probabilities and prove that it is equivalent to the notion of optional m-stability. In the second part this notion is generalized to set of processes and prove that it is linked to the former notion.

The paper considers trading with proportional transaction costs. We give a necessary and sufficient condition for A, the cone of claims attainable from zero endowment, to be closed, and show, in general, how to represent its closure in such a way that it is the cone of claims attainable for zero...

We consider trading in a financial market with proportional transaction costs. In the frictionless case, claims are maximal if and only if they are priced by a consistent price process--the equivalent of an equivalent martingale measure. This result fails in the presence of transaction costs. A...