Feinstein, Zachary; Rudloff, Birgit - In: Quantitative Finance 13 (2013) 9, pp. 1473-1489
Set-valued dynamic risk measures are defined on <inline-formula id="ILM0001"> <inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="rquf_a_781668_o_ilm0001.gif"/> </inline-formula> with <inline-formula id="ILM0002"> <inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="rquf_a_781668_o_ilm0002.gif"/> </inline-formula> and with an image space in the power set of <inline-formula id="ILM0003"> <inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="rquf_a_781668_o_ilm0003.gif"/> </inline-formula>. Primal and dual representations of dynamic risk measures are deduced. Definitions of different time consistency properties in the set-valued framework are given. It is shown that the...