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