Time-Inconsistency of VaR and Time-Consistent Alternatives
By Patrick Cheridito, Mitja Stadje. 2007
72 citations recorded by the source corpus.
Subfields: Accounting, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/b9f158bb97c586923578de9f35b6cce255ff144b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Michael Kupper
- Walter Schachermayer
- Alexander Schied
- Paolo Guasoni
- Jocelyne Bion-Nadal
- Mark P. Owen
- Jan Kallsen
- Daniel Hernandez-Hernandez
In Management Science and Operations Research
- Michael Kupper
- Walter Schachermayer
- Alexander Schied
- Paolo Guasoni
- Jan Kallsen
- Daniel Hernandez-Hernandez
- Jocelyne Bion-Nadal
- Miklós Rásonyi
Citations in the corpus
- Representation results for law invariant time consistent functions (2009, background): “Remark 1.12 Artzner et al. [3] and Cheridito and Stadje [7] provide explicit counter examples which demonstrate that the average value at risk AV@R and the value at risk V@R are not time consistent.”
- Dynamic risk measures (2010, unknown): “, [4, 35, 14].”