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- W3124109008 abstract "We study coherent risk measures which are time-consistent for multiple ltrations. We show that a coherent risk measure is time-consistent for every ltration if and only if it is one of four main types. Furthermore, if the risk measure is strictly monotone it is linear, and if the reference probability space is not atomic then it is either linear or an essential supremum." @default.
- W3124109008 created "2021-02-01" @default.
- W3124109008 creator A5060270542 @default.
- W3124109008 date "2010-07-01" @default.
- W3124109008 modified "2023-09-27" @default.
- W3124109008 title "What risk measures are time consistent for all ltrations" @default.
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