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A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time : LM-measure perspective
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
Container 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
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| cris.lastimport.wos | 2024-04-09T19:58:21Z | |
| dc.abstract.en | 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. | pl |
| dc.affiliation | Wydział Matematyki i Informatyki : Instytut Matematyki | pl |
| dc.contributor.author | Bielecki, Tomasz R. | pl |
| dc.contributor.author | Cialenco, Igor | pl |
| dc.contributor.author | Pitera, Marcin - 107421 | pl |
| dc.date.accessioned | 2017-07-12T05:44:10Z | |
| dc.date.available | 2017-07-12T05:44:10Z | |
| dc.date.issued | 2017 | pl |
| dc.date.openaccess | 0 | |
| dc.description.accesstime | w momencie opublikowania | |
| dc.description.version | ostateczna wersja wydawcy | |
| dc.description.volume | 2 | pl |
| dc.identifier.articleid | 3 | pl |
| dc.identifier.doi | 10.1186/s41546-017-0012-9 | pl |
| dc.identifier.eissn | 2367-0126 | pl |
| dc.identifier.issn | 2095-9672 | pl |
| dc.identifier.uri | http://ruj.uj.edu.pl/xmlui/handle/item/42659 | |
| dc.language | eng | pl |
| dc.language.container | eng | pl |
| 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.indexing | tak | pl |
| dc.scopuswos.indexing | tak | pl |
| dc.share.type | otwarte czasopismo | |
| dc.subject.en | time consistency | pl |
| dc.subject.en | update rule | pl |
| dc.subject.en | dynamic LM-measure | pl |
| dc.subject.en | dynamic risk measure | pl |
| dc.subject.en | dynamic acceptability index | pl |
| dc.subject.en | measure of performance | pl |
| dc.subtype | Article | pl |
| dc.title | A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time : LM-measure perspective | pl |
| dc.title.journal | Probability, Uncertainty and Quantitative Risk | pl |
| dc.type | JournalArticle | pl |
| dspace.entity.type | Publication |
Affiliations
Wydział Matematyki i Informatyki
Pitera, Marcin
No affiliation
Bielecki, Tomasz R.
Cialenco, Igor
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