Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22266
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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 formulti-period financial positions. For the special case of a terminal cash flow,we require that risk depends on its conditional distribution only. We prove arepresentation theorem for dynamic risk measures and investigate their relationto static risk measures. Two notions of dynamic consistency are proposed. Akey insight of the paper is that dynamic consistency and the notion of ?measureconvex sets of probability measures? are intimately related. Measure convexitycan be interpreted using the concept of compound lotteries. We characterize theclass of static risk measures that represent consistent dynamic risk measures.It turns out that these are closely connected to shortfall risk. Under weak additionalassumptions, static convex risk measures coincide with shortfall risk,if compound lotteries of acceptable respectively rejected positions are againacceptable respectively rejected. This result implies a characterization of dynamicallyconsistent convex risk measures.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aDiscussion papers of interdisciplinary research project 373 |x2003,53en_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-

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