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A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time : LM-measure perspective
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A survey of time consistency of dynamic risk measures ...
Bibliographic description
| title: | A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time : LM-measure perspective |
| author: | Bielecki Tomasz R., Cialenco Igor, Pitera Marcin 
|
| Journal title: | Probability, Uncertainty and Quantitative Risk |
| volume: | 2 |
| date of publication: | 2017 |
| article ID: | 3 |
| ISSN: |
2095-9672 |
| eISSN: |
2367-0126 |
| DOI: | |
| language: | English |
| Journal language: | English |
| abstract in english: | In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operational concepts used throughout are the notion of the LM-measure and the notion of the update rule that, we believe, are the key tools for studying time consistency in a unified framework. |
| keywords in english: | time consistency, update rule, dynamic LM-measure, dynamic risk measure, dynamic acceptability index, measure of performance |
| affiliation: | Wydział Matematyki i Informatyki : Instytut Matematyki |
| type: | journal article |
| subtype: | academic paper |
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