| 来源类型 | Article
|
| 规范类型 | 其他
|
| DOI | 10.1142/S0219024914500034
|
| Are time consistent valuations information monotone? |
| Kovacevic RM; Pflug GC
|
| 发表日期 | 2014
|
| 出处 | International Journal of Theoretical and Applied Finance 17 (1)
|
| 出版年 | 2014
|
| 语种 | 英语
|
| 摘要 | Multi-period risk functionals assign a risk value to discrete-time stochastic processes. While convexity and monotonicity extend in straightforward manner from the single-period case, the role of information is more problematic in the multi-period situation. In this paper, we define multi-period functionals in such a way that the development of available information over time (expressed as a filtration) enters explicitly the definition of the functional. This allows to define and study the property of information monotonicity, i.e. monotonicity w.r.t. increasing filtrations. On the other hand, time consistency of valuations is a favorable property and it is well-known that this requirement essentially leads to compositions of conditional mappings. We demonstrate that generally spoken the intersection of time consistent and information monotone valuation functionals is rather sparse, although both classes alone are quite rich. In particular, the paper gives a necessary and sufficient condition for information monotonicity of additive compositions of positively homogeneous risk/acceptability mappings. Within the class of distortion functionals only compositions of expectation or essential infima are information monotone. Furthermore, we give a sufficient condition and examples for compositions of nonhomogeneous mappings exhibiting information monotonicity. |
| 主题 | Risk &
; Resilience (RISK)
; Risk, Policy and Vulnerability (RPV)
|
| 关键词 | Risk functional
Acceptability functional
Multi-period, conditional risk mapping
Average value-at-risk
Dual representation
Information monotonicity
Value of information
|
| URL | http://pure.iiasa.ac.at/id/eprint/10967/
|
| 来源智库 | International Institute for Applied Systems Analysis (Austria)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/130079
|
推荐引用方式
GB/T 7714 |
Kovacevic RM,Pflug GC. Are time consistent valuations information monotone?. 2014.
|
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