This paper contains an overview of results for dynamic risk measures in markets with transaction costs . We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties like primal and dual representation and time consistency in the different approaches compare to each other.
This paper contains an overview of results for dynamic multivariate risk measures . We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties like primal and dual representation and time consistency in the different approaches compare to each other.
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risk measures in markets with transaction costs
multivariate risk measures