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\begin{document}
\title{Time Consistent and Currency Invariant Convex Risk Measures} 
\author{Steven D'Silva, Carnegie Mellon University}
\date{September 1, 2005}

\maketitle

\begin{abstract}
  In order to study time-consistent monetary concave risk adjusted
  valuations in a continuous time, finite horizon setting, there
  arises a need to define risk adjusted valuations at all dates in the
  time continuum. One approach of tackling this issue is to define
  risk adjusted valuations at all dates and call this sequence of risk
  valuations as the risk valuation process. However, monetary risk
  adjusted valuations enjoy the translation invariance property which
  enables us to define monetary risk adjusted valuations at
  intermediate stopping times in terms of the date-0 risk adjusted
  valuation.
  
  We characterize these intermediate risk adjusted valuations in terms
  of the date-0 risk adjusted valuation for strongly relevant
  time-consistent monetary risk measures. We seek to characterize
  convex risk measures which are both time consistent and currency
  invariant. We define currency invariance for monetary concave risk
  adjusted valuations. We show that only trivial monetary concave risk
  adjusted valuations satisfy both time consistency and currency
  invariance for all positive exchange rate processes.

\end{abstract}
\end{document}
