We extend the definition of a convex risk measure to a conditional framework where
additional information is available. We characterize these risk measures through the …

We study dynamic monetary risk measures that depend on bounded discrete-time
processes describing the evolution of financial values. The time horizon can be finite or …

In the first part of the paper, we characterize distribution‐invariant risk measures with convex
acceptance and rejection sets on the level of distributions. It is shown that these risk …

In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …

This paper gives an overview of the theory of dynamic convex risk measures for random
variables in discrete-time setting. We summarize robust representation results of conditional …

The (subjective) indifference value of a payoff in an incomplete financial market is that
monetary amount which leaves an agent indifferent between buying or not buying the payoff …

In this paper we propose a generalization of the concepts of convex and coherent risk
measures to a multiperiod setting, in which payoffs are spread over different dates. To this …

Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control
the risk of trading portfolios. Yet, existing theoretical analysis of the optimal behavior of a …

Representation of the penalty term of dynamic concave utilities Page 1 Finance Stoch (2010)
14: 449–472 DOI 10.1007/s00780-009-0119-7 Representation of the penalty term of dynamic …

In discrete time, every time-consistent dynamic monetary risk measure can be written as a
composition of one-step risk measures. We exploit this structure to give new dual …