[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v16y2006i2p419-441.html
   My bibliography  Save this article

Distribution‐Invariant Risk Measures, Information, And Dynamic Consistency

Author

Listed:
  • Stefan Weber
Abstract
In the first part of the paper, we characterize distribution‐invariant risk measures with convex acceptance and rejection sets on the level of distributions. It is shown that these risk measures are closely related to utility‐based shortfall risk. In the second part of the paper, we provide an axiomatic characterization for distribution‐invariant dynamic risk measures of terminal payments. We prove a representation theorem and investigate the relation to static risk measures. A key insight of the paper is that dynamic consistency and the notion of “measure convex sets of probability measures” are intimately related. This result implies that under weak conditions dynamically consistent dynamic risk measures can be represented by static utility‐based shortfall risk.

Suggested Citation

  • Stefan Weber, 2006. "Distribution‐Invariant Risk Measures, Information, And Dynamic Consistency," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 419-441, April.
    • Handle: RePEc:bla:mathfi:v:16:y:2006:i:2:p:419-441
    DOI: 10.1111/j.1467-9965.2006.00277.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9965.2006.00277.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9965.2006.00277.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:16:y:2006:i:2:p:419-441. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.