pith. sign in

arxiv: 0708.0512 · v1 · submitted 2007-08-03 · 🧮 math.PR

On representing claims for coherent risk measures

classification 🧮 math.PR
keywords coherentriskmarketmeasureclaimsconceptscostsequivalent
0
0 comments X
read the original abstract

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 by Delbaen. In a similar way we extend the notion of m-stability, by introducing weak and strong versions. We then prove that the two concepts of m-stability and time-consistency are still equivalent, thus giving necessary and sufficient conditions for a coherent risk measure to be represented by a market with proportional transaction costs. We go on to deduce that, under a separability assumption, any coherent risk measure is strongly time-consistent with respect to a suitably chosen countable portfolio, and show the converse: that any market with proportional transaction costs is equivalent to a market priced by a coherent risk measure, essentially establishing the equivalence of the two concepts.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.