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http://hdl.handle.net/10419/25025
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| Title: | | Conditional and dynamic convex risk measures  |
| Authors: | | Detlefsen, Kai Scandolo, Giacomo |
| Issue Date: | | 2005 |
| Series/Report no.: | | SFB 649 discussion paper 2005,006 |
| 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. As an example we consider the class of conditional entropic risk measures. A new 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 characterize those satisfying some natural time consistency properties. |
| Subjects: | | Conditional convex risk measure robust representation regularity entropic risk measure dynamic convex risk measure time consistency |
| JEL: | | D81 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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