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A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time : LM-measure perspective

2017
journal article
article
10.1186/s41546-017-0012-9
Journal
Probability, Uncertainty and Quantitative Risk
Author
Bielecki Tomasz R.

Cialenco Igor

Pitera Marcin
Volume
2
Article ID
3
ISSN
2095-9672
eISSN
2367-0126
Keywords in English

time consistency

update rule

dynamic LM-measure

dynamic risk measure

dynamic acceptability index

measure of performance

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.

Affiliation
Wydział Matematyki i Informatyki : Instytut Matematyki
Scopus© citations
25
cris.lastimport.wos2024-04-09T19:58:21Z
dc.abstract.enIn 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.pl
dc.affiliationWydział Matematyki i Informatyki : Instytut Matematykipl
dc.contributor.authorBielecki, Tomasz R.pl
dc.contributor.authorCialenco, Igorpl
dc.contributor.authorPitera, Marcin - 107421 pl
dc.date.accessioned2017-07-12T05:44:10Z
dc.date.available2017-07-12T05:44:10Z
dc.date.issued2017pl
dc.date.openaccess0
dc.description.accesstimew momencie opublikowania
dc.description.versionostateczna wersja wydawcy
dc.description.volume2pl
dc.identifier.articleid3pl
dc.identifier.doi10.1186/s41546-017-0012-9pl
dc.identifier.eissn2367-0126pl
dc.identifier.issn2095-9672pl
dc.identifier.urihttp://ruj.uj.edu.pl/xmlui/handle/item/42659
dc.languageengpl
dc.language.containerengpl
dc.rightsUdzielam licencji. Uznanie autorstwa 3.0 Polska*
dc.rights.licenceCC-BY
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/pl/legalcode*
dc.scopuswos.indexingtakpl
dc.scopuswos.indexingtakpl
dc.share.typeotwarte czasopismo
dc.source.integratorfalse
dc.subject.entime consistencypl
dc.subject.enupdate rulepl
dc.subject.endynamic LM-measurepl
dc.subject.endynamic risk measurepl
dc.subject.endynamic acceptability indexpl
dc.subject.enmeasure of performancepl
dc.subtypeArticlepl
dc.titleA survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time : LM-measure perspectivepl
dc.title.journalProbability, Uncertainty and Quantitative Riskpl
dc.typeJournalArticlepl
dspace.entity.typePublication
cris.lastimport.wos
2024-04-09T19:58:21Z
dc.abstract.enpl
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.
dc.affiliationpl
Wydział Matematyki i Informatyki : Instytut Matematyki
dc.contributor.authorpl
Bielecki, Tomasz R.
dc.contributor.authorpl
Cialenco, Igor
dc.contributor.authorpl
Pitera, Marcin - 107421
dc.date.accessioned
2017-07-12T05:44:10Z
dc.date.available
2017-07-12T05:44:10Z
dc.date.issuedpl
2017
dc.date.openaccess
0
dc.description.accesstime
w momencie opublikowania
dc.description.version
ostateczna wersja wydawcy
dc.description.volumepl
2
dc.identifier.articleidpl
3
dc.identifier.doipl
10.1186/s41546-017-0012-9
dc.identifier.eissnpl
2367-0126
dc.identifier.issnpl
2095-9672
dc.identifier.uri
http://ruj.uj.edu.pl/xmlui/handle/item/42659
dc.languagepl
eng
dc.language.containerpl
eng
dc.rights*
Udzielam licencji. Uznanie autorstwa 3.0 Polska
dc.rights.licence
CC-BY
dc.rights.uri*
http://creativecommons.org/licenses/by/3.0/pl/legalcode
dc.scopuswos.indexingpl
tak
dc.scopuswos.indexingpl
tak
dc.share.type
otwarte czasopismo
dc.source.integrator
false
dc.subject.enpl
time consistency
dc.subject.enpl
update rule
dc.subject.enpl
dynamic LM-measure
dc.subject.enpl
dynamic risk measure
dc.subject.enpl
dynamic acceptability index
dc.subject.enpl
measure of performance
dc.subtypepl
Article
dc.titlepl
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time : LM-measure perspective
dc.title.journalpl
Probability, Uncertainty and Quantitative Risk
dc.typepl
JournalArticle
dspace.entity.type
Publication
Affiliations
Wydział Matematyki i Informatyki
Pitera, Marcin
No affiliation
Bielecki, Tomasz R.
Cialenco, Igor

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