DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE

In this paper, we present a theoretical framework for studying coherent acceptability indices (CAIs) in a dynamic setup. We study dynamic CAIs (DCAIs) and dynamic coherent risk measures (DCRMs), and we establish a duality between them. We derive a representation theorem for DCRMs in terms of a so‐ca...

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Veröffentlicht in:	Mathematical finance 2014-07, Vol.24 (3), p.411-441
Hauptverfasser:	Bielecki, Tomasz R., Cialenco, Igor, Zhang, Zhao
Format:	Artikel
Sprache:	eng
Schlagworte:	dynamic coherent acceptability index dynamic coherent risk measures dynamic GLR dynamic measures of performance dynamic RAROC dynamically consistent sequence of sets of probability measures Dynamics Financial analysis Mathematical analysis Measurement Portfolio management Portfolio performance Probability Risk Studies time consistency
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