动态货币效用过程的最差投资组合
Worst portfolios for dynamic monetary utility processes
摘要：
研究了一类随机过程中具有定义域的律不变动态货币效用函数的最坏投资组合问题。为了证明最坏投资组合的存在性，对这些过程引入了共单调性的概念。利用离散时间货币效用函数过程的鲁棒表示，给出了不同时间段最差投资组合之间的关系。最后，我们研究了凹货币效用函数的表示定理中达到最大值的条件，这些函数对于有界递减序列是连续的。
英文摘要：
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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