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

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:	10.1186/s41546-017-0012-9
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