@techreport{Weber2003Distribution,
abstract = {The paper provides an axiomatic characterization of dynamic risk measures for
multi-period financial positions. For the special case of a terminal cash flow,
we require that risk depends on its conditional distribution only. We prove a
representation theorem for dynamic risk measures and investigate their relation
to static risk measures. Two notions of dynamic consistency are proposed. A
key insight of the paper is that dynamic consistency and the notion of ?measure
convex sets of probability measures? are intimately related. Measure convexity
can be interpreted using the concept of compound lotteries. We characterize the
class of static risk measures that represent consistent dynamic risk measures.
It turns out that these are closely connected to shortfall risk. Under weak additional
assumptions, static convex risk measures coincide with shortfall risk,
if compound lotteries of acceptable respectively rejected positions are again
acceptable respectively rejected. This result implies a characterization of dynamically
consistent convex risk measures.},
author = {Stefan Weber},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G11; G28; G18; 330; Dynamic risk measure; capital requirement; measure of risk; dynamic consistency; measure convexity; shortfall risk; Risiko; Messung; Portfolio-Management; Dynamisches Modell; Theorie},
language = {eng},
note = {urn:nbn:de:kobv:11-10050879},
number = {2003,53},
title = {Distribution-Invariant Dynamic Risk Measures},
type = {Discussion papers of interdisciplinary research project 373},
url = {http://hdl.handle.net/10419/22266},
year = {2003}
}
