Publication: Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
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Delbaen, F. (2021). Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Finance and Stochastics, 25(3), 597–614. https://doi.org/10.1007/s00780-021-00459-2
Abstract
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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.
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- Delbaen, Freddy
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Citations
Delbaen, F. (2021). Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Finance and Stochastics, 25(3), 597–614. https://doi.org/10.1007/s00780-021-00459-2
