- Weakly time consistent concave valuations and their dual representations
- Finance and Stochastics
- Volume | Issue number
- 20 | 1
- Pages (from-to)
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
We derive dual characterizations of two notions of weak time consistency for concave valuations, which are convex risk measures under a positive sign convention. Combined with a suitable risk aversion property, these notions are shown to amount to three simple rules for not necessarily minimal representations, describing precisely which features of a valuation determine its unique consistent update. A compatibility result shows that for a time-indexed sequence of valuations, it is sufficient to verify these rules only pairwise with respect to the initial valuation, or in discrete time, only stepwise. We conclude by describing classes of consistently risk averse dynamic valuations with prescribed static properties per time step. This gives rise to a new formalism for recursive valuation.
- go to publisher's site
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.