Commonotonicity and time consistency for Lebesgue continuous monetary utility functions

Freddy Delbaen

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arXiv · 1904.04522

Commonotonicity and time consistency for Lebesgue continuous monetary utility functions

Freddy Delbaen

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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.

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Freddy Delbaen. 2019-04-09. Commonotonicity and time consistency for Lebesgue continuous monetary utility functions. https://arxiv.org/abs/1904.04522

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