Before revision:  the set of superhedging portfolios in markets with proportional transaction costs is shown to have the stability property and in markets with convex transaction costs is shown to satisfy the composed cocycle condition, and a multi-portfolio time consistent version of the set-valued average value at risk, the composed AV@R, is given and its dual representation deduced.
After revision:  the set of superhedging portfolios in markets with proportional transaction costs is shown to have the stability property and in markets with convex transaction costs is shown to satisfy the composed cocycle condition, and a multiportfolio time consistent version of the set-valued average value at risk, the composed AV@R, is given and its dual representation deduced.