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Delbaen, Freddy (2021). Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Finance and Stochastics, 25(3):597-614.
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.
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 07 Faculty of Science > Institute of Mathematics |
| Dewey Decimal Classification: | 340 Law
610 Medicine & health 510 Mathematics |
| Scopus Subject Areas: | Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Finance Social Sciences & Humanities > Statistics, Probability and Uncertainty |
| Uncontrolled Keywords: | Statistics, Probability and Uncertainty, Finance, Statistics and Probability |
| Language: | English |
| Date: | 1 July 2021 |
| Deposited On: | 12 Jan 2022 15:24 |
| Last Modified: | 26 Dec 2024 02:40 |
| Publisher: | Springer |
| ISSN: | 0949-2984 |
| OA Status: | Hybrid |
| Publisher DOI: | https://doi.org/10.1007/s00780-021-00459-2 |
| Project Information: |
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Delbaen, Freddy