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arXiv · 1704.04686

Worst portfolios for dynamic monetary utility processes

Daniel Hernandez-Hernandez·Oscar Hernan Madrid Padilla
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Abstract

We study the worst portfolios for a class of law invariant dynamic monetary utility functions with domain in a class of stochastic processes. The concept of comonotonicity is introduced for these processes in order to prove the existence of worst portfolios. Using robust representations of monetary utility function processes in discrete time, a relation between the worst portfolios at different periods of time is presented. Finally, we study conditions to achieve the maximum in the representation theorems for concave monetary utility functions that are continuous for bounded decreasing sequences.

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Daniel Hernandez-Hernandez, Oscar Hernan Madrid Padilla. 2017-04-18. Worst portfolios for dynamic monetary utility processes. https://doi.org/10.1080/17442508.2017.1311901

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