Assume that the random future evolution of values is modelled in continuous time. Then, a risk measure can be viewed as a functional on a space of continuous-time stochastic processes. In this paper we study coherent and convex monetary risk measures on the space of all càdlàg processes that...

We study dynamic monetary risk measures thatdepend on bounded discrete-time processesdescribing the evolution of financial values. The time horizoncan be finite or infinite. We call a dynamic risk measuretime-consistent if it assigns to a process of financialvalues the same risk irrespective of...

We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of monetary risk measures time-consistent if it assigns to a...

If the random future evolution of values is modelled in continuous time, then a risk measure can be viewed as a functional on a space of continuous-time stochastic processes. We extend the notions of coherent and convex monetary risk measures to the space of bounded càdlàg processes that are...

It is common practice to describe the future evolution of a financial profit by a continuous-time stochastic model. A risk measure can then be viewed as a functional on a space of continuous-time stochastic processes. We extend the notions of coherent and convex risk measures to the space of...

In this paper we derive a numerical representation for general complete preferences respecting the following two principles: a) more is better than less, b) averages are better than extremes. To be able to distinguish between risk and ambiguity we work in an Anscombe-Aumann framework. Our main...

We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the...