Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
OPEN ACCESS
Loading...
Author / Producer
Date
2021
Publication Type
Journal Article
ETH Bibliography
yes
OPEN ACCESS
Data
Rights / License
Abstract
It is proved that monetary utility functions that are commonotonic and time-consistent are conditional expectations. We also give additional results on atomless and conditionally atomless probability spaces. These notions describe that in a filtration, there are many new events at each time step.
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
25
Pages / Article No.
597 - 614
Publisher
Springer
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Time-consistency; Commonotonicity; Atomless probability spaces
Organisational unit
02000 - Dep. Mathematik / Dep. of Mathematics