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arXiv · 1603.09030

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

Tomasz R. Bielecki·Igor Cialenco·Marcin Pitera
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Abstract

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.

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BibTeXRIS

Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera. 2016-03-30. A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective. https://arxiv.org/abs/1603.09030

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