In this paper, we investigate possible approaches to study general time-inconsistent
optimization problems without assuming the existence of optimal strategy. This leads …

Equivalent characterizations of multi-portfolio time consistency are deduced for closed
convex and coherent set-valued risk measures on L^p(\varOmega,F,P;R^d) with image …

We investigate to which extent the relevant features of (static) Systemic Risk Measures can
be extended to a conditional setting. After providing a general dual representation result, we …

In this work we give a comprehensive overview of the time consistency property of dynamic
risk and performance measures, focusing on a the discrete time setup. The two key …

A method for calculating multi-portfolio time consistent multivariate risk measures in discrete
time is presented. Market models for d assets with transaction costs or illiquidity and …

Risk measures for multivariate financial positions are studied in a utility-based framework.
Under a certain incomplete preference relation, shortfall and divergence risk measures are …

We study the explicit calculation of the set of superhedging portfolios of contingent claims in
a discrete-time market model for d assets with proportional transaction costs. The set of …

Inspired by the theory of financial markets with transaction costs, we study a concept of
essential supremum in the framework where a random partial order in R d is lifted to the …

In this paper we present results on dynamic multivariate scalar risk measures, which arise in
markets with transaction costs and systemic risk. Dual representations of such risk measures …

This paper contains an overview of results for dynamic multivariate risk measures. We
provide the main results of four different approaches. We will prove under which …