Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on L^p_d  . In the convex case, multi-portfolio time consistency is equivalent to a  condition on the sum of minimal penalty functions. The proof of this results is entirely different from the proof in the scalar case as the scalar method cannot be applied here. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the dual variables. As examples, the  set of superhedging portfolios in markets with  transaction costs is shown to have the stability property  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.
Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on L^p_d (F_T) with image space in the power set of L^p_d(F_t) . In 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 dual variables. As examples, the set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions, 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.
A
(F_T) with image space in the power set of L^p_d(F_t)
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cocycle
D
The proof of this results is entirely different from the proof in the scalar case as the scalar method cannot be applied here.
A
set-valued entropic risk measure with constant risk aversion coefficient is shown to satisfy the cocycle condition for its minimal penalty functions, the
A
proportional
A
and in markets with convex transaction costs is shown to satisfy the composed cocycle condition,