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Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions |
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| Authors: | Delbaen Freddy |
| Institution: | 1.Departement für Mathematik, ETH Zürich, Rämistrasse 101, 8092, Zürich, Switzerland ;2.Institut für Mathematik, Universität Zürich, Winterthurerstrasse 190, 8057, Zürich, Switzerland ; |
| Abstract: | Finance and Stochastics - It is proved that monetary utility functions that are commonotonic and time-consistent are conditional expectations. We also give additional results on atomless and... |
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