摘要翻译：
在像空间为$l^p(\omega,\mathcal F,p；r^d)$的幂集上，给出了闭凸相干集值风险测度的多投资组合时间一致性的等价刻画。在凸情形下，多投资组合时间一致性等价于最小罚函数和上的一个共循环条件。在相干情形下，多投资组合时间一致性等价于对偶变量稳定性的广义形式。作为例子，证明了风险厌恶系数为常数的集值熵风险测度满足其最小惩罚函数的共循环条件，证明了交易费用为比例的市场中的超套期保值组合集具有稳定性，交易费用为凸的市场中的超套期保值组合集满足复合共循环条件，给出了多组合时间一致的集值风险平均值复合AV@R,并推导了它的对偶表示。
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英文标题：
《Multiportfolio time consistency for set-valued convex and coherent risk
  measures》
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作者：
Zachary Feinstein, Birgit Rudloff
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最新提交年份：
2014
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  Equivalent characterizations of multiportfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^p(\Omega,\mathcal F, P; R^d)$ with image space in the power set of $L^p(\Omega,\mathcal F_t,P;R^d)$. In the convex case, multiportfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty functions. In the coherent case, multiportfolio 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 multiportfolio time consistent version of the set-valued average value at risk, the composed AV@R, is given and its dual representation deduced.
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PDF链接：
https://arxiv.org/pdf/1212.5563