Abstract In the conditional setting we provide a complete duality between quasiconvex risk measures defined on L 0 modules of the L p type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex...

Abstract In this paper we present results on dynamic multivariate scalar risk measures, which arise in markets with transaction costs and systemic risk. Dual representations of such risk measures are presented. These are then used to obtain the main results of this paper on time consistency;...

Managing commodity price uncertainty is an integral part of many firms' business process. Firms adopt a variety of operational strategies to manage this uncertainty, subject to operational constraints such as finite procurement and processing capacities. The availability of financial derivative...

In the framework of Knightian uncertainty more precisely in the model introduced by Epstein and Schneider 3 different questions concerning the aspect of time-consistency, in the sense of m-stability or rectangularity, are studied.The first part describes an alternative description of...

We analyze the Foster-Hart measure of riskiness for general distributions in dynamic settings. The Foster-Hart measure avoids bankruptcy in the long run. It is not time-consistent.