Conditional and dynamic convex risk measures

@article{Detlefsen2005ConditionalAD,
  title={Conditional and dynamic convex risk measures},
  author={Kai Detlefsen and Giacomo Scandolo},
  journal={Finance and Stochastics},
  year={2005},
  volume={9},
  pages={539-561}
}
  • Kai Detlefsen, Giacomo Scandolo
  • Published 2005
  • Mathematics, Computer Science
  • Finance and Stochastics
  • Abstract.We extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. A suitable regularity property of conditional risk measures is defined and discussed. Finally, we introduce the concept of a dynamic convex risk measure as a family of successive conditional convex risk measures and… CONTINUE READING
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