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dc.contributor.authorWeber, Stefanen_US
dc.date.accessioned2009-01-29T14:55:16Z-
dc.date.available2009-01-29T14:55:16Z-
dc.date.issued2003en_US
dc.identifier.piurn:nbn:de:kobv:11-10050879-
dc.identifier.urihttp://hdl.handle.net/10419/22266-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesDiscussion papers of interdisciplinary research project 373 2003,53en_US
dc.subject.jelG11en_US
dc.subject.jelG28en_US
dc.subject.jelG18en_US
dc.subject.ddc330en_US
dc.subject.keywordDynamic risk measureen_US
dc.subject.keywordcapital requirementen_US
dc.subject.keywordmeasure of risken_US
dc.subject.keyworddynamic consistencyen_US
dc.subject.keywordmeasure convexityen_US
dc.subject.keywordshortfall risken_US
dc.subject.stwRisikoen_US
dc.subject.stwMessungen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwDynamisches Modellen_US
dc.subject.stwTheorieen_US
dc.titleDistribution-Invariant Dynamic Risk Measuresen_US
dc.typeWorking Paperen_US
dc.identifier.ppn379176408en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb373:200353-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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