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Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions


Delbaen, Freddy (2021). Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Finance and Stochastics, 25(3):597-614.

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.

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.

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Additional indexing

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 Jun 2024 01:49
Publisher:Springer
ISSN:0949-2984
OA Status:Hybrid
Publisher DOI:https://doi.org/10.1007/s00780-021-00459-2
Project Information:
  • : FunderETH Zurich
  • : Grant ID
  • : Project Title
  • Content: Published Version
  • Language: English
  • Licence: Creative Commons: Attribution 4.0 International (CC BY 4.0)