Presentation: Representation of coherent risk measures by trading.
Workshop: Advanced Modeling in Finance and Insurance
Time: Thu, September 25, 2008, 15:00-15:50
Speaker: Saul Jacka
Abstract
We extend the notions of m-stability and time consistency (introduced by Delbaen in the context of a cash-based coherent risk measure) to a portfolio of assets.
We then prove that the two concepts of m-stability and time-consistency are equivalent, and then show how this leads to necessary and sufficient conditions for a coherent risk measure to be represented by a market with proportional transaction costs.
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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