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dc.contributor.authorWeber, Stefanen
dc.date.accessioned2009-01-29T14:55:16Z-
dc.date.available2009-01-29T14:55:16Z-
dc.date.issued2003-
dc.identifier.piurn:nbn:de:kobv:11-10050879en
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2003,53en
dc.subject.jelG11en
dc.subject.jelG28en
dc.subject.jelG18en
dc.subject.ddc330en
dc.subject.keywordDynamic risk measureen
dc.subject.keywordcapital requirementen
dc.subject.keywordmeasure of risken
dc.subject.keyworddynamic consistencyen
dc.subject.keywordmeasure convexityen
dc.subject.keywordshortfall risken
dc.subject.stwRisikoen
dc.subject.stwMessungen
dc.subject.stwPortfolio-Managementen
dc.subject.stwDynamisches Modellen
dc.subject.stwTheorieen
dc.titleDistribution-Invariant Dynamic Risk Measures-
dc.typeWorking Paperen
dc.identifier.ppn379176408en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200353en

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