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

A survey of time consistency of dynamic risk measures ...

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dc.contributor.author Bielecki, Tomasz R. pl
dc.contributor.author Cialenco, Igor pl
dc.contributor.author Pitera, Marcin [SAP14004917] pl
dc.date.accessioned 2017-07-12T05:44:10Z
dc.date.available 2017-07-12T05:44:10Z
dc.date.issued 2017 pl
dc.identifier.issn 2095-9672 pl
dc.identifier.uri http://ruj.uj.edu.pl/xmlui/handle/item/42659
dc.language eng pl
dc.rights Udzielam licencji. Uznanie autorstwa 3.0 Polska *
dc.rights.uri http://creativecommons.org/licenses/by/3.0/pl/legalcode *
dc.title A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time : LM-measure perspective pl
dc.type JournalArticle pl
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.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.description.volume 2 pl
dc.identifier.doi 10.1186/s41546-017-0012-9 pl
dc.identifier.eissn 2367-0126 pl
dc.title.journal Probability, Uncertainty and Quantitative Risk pl
dc.language.container eng pl
dc.affiliation Wydział Matematyki i Informatyki : Instytut Matematyki pl
dc.subtype Article pl
dc.identifier.articleid 3 pl
dc.rights.original CC-BY; otwarte czasopismo; ostateczna wersja wydawcy; w momencie opublikowania; 0; pl


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Udzielam licencji. Uznanie autorstwa 3.0 Polska Except where otherwise noted, this item's license is described as Udzielam licencji. Uznanie autorstwa 3.0 Polska