Representation results for law invariant time consistent functions

By Michael Kupper, Walter Schachermayer. 2009

150 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/949602a4ebd20085e2e00b131f0394dd5ca58c38

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Beatrice Acciaio
2. Irina Penner
3. Jocelyne Bion-Nadal
4. T. Guo

In Finance

1. Beatrice Acciaio
2. Irina Penner
3. Jocelyne Bion-Nadal
4. T. Guo

In Management Science and Operations Research

1. Beatrice Acciaio
2. Irina Penner
3. Jocelyne Bion-Nadal
4. T. Guo

Citations in the corpus

• Dynamic risk measures (2010, background): “42 Kupper and Schachermayer [30] showed that the entropic risk measure with constant risk aversion parameter γ0 ∈ [0,∞] is the only time consistent dynamic convex risk measure (ρt )t∈N0 such that ρ0 is law invariant.”