Commonotonicity and time consistency for Lebesgue continuous monetary utility functions

2019/04/09 by Freddy Delbaen, Delbaen, Freddy · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60G99 #91B16 #91B30 #91G99 #Economic theories and models #FOS: Mathematics #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.PR #msc:60G99 #msc:91B16 #msc:91B30 #msc:91G99

paper · pdf · doi:10.48550/arxiv.1904.04522

arxiv created 2019/04/09 · openalex publication_date 2019/04/09 · arxiv updated 2019/04/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

It is proved that commonotonicity and time consistence for monetary utility functions do not go together. I also gives additional results on atomless and conditionally atomless probability spaces.

Cited by

• Conditionally atomless extensions of sigma algebras

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