Feinstein, Zachary; Rudloff, Birgit - In: Finance and Stochastics 19 (2015) 1, pp. 67-107
<Para ID="Par1">Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and … the convex case, multi-portfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty … functions. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the …