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 and dynamic performance measures in discrete time: LM-measure perspective

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 th...

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Veröffentlicht in:Probability, uncertainty and quantitative risk uncertainty and quantitative risk, 2017-03, Vol.2 (1), Article 3
Hauptverfasser: Bielecki, Tomasz R., Cialenco, Igor, Pitera, Marcin
Format: Artikel
Sprache:eng
Schlagworte:
Mathematics
Mathematics and Statistics
Probability Theory and Stochastic Processes
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Zusammenfassung: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.
ISSN:2367-0126
2367-0126
DOI:10.1186/s41546-017-0012-9