no code implementations • 22 Dec 2020 • Gabriela Kováčová, Birgit Rudloff, Igor Cialenco
Using robust representations of CAIs in terms of a family of dynamic coherent risk measures (DCRMs), we establish an intriguing dichotomy: if the corresponding family of DCRMs is recursive (i. e. strongly time consistent) and assuming some recursive structure of the market model, then the acceptability maximization problem reduces to just a one period problem and the maximal acceptability is constant across all states and times.
