Time consistency of multi-period distortion measures

DOI10.1524/strm.2012.1115zbMath1470.91329OpenAlexW2242816965MaRDI QIDQ2048192

Vicky Fasen, Adéla Švejda

Publication date: 5 August 2021

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/56084

zbMATH Keywords

coherencerisk measuretime-consistencyconditional consistencysequential consistencydynamic consistencytail-value-at-riskdistortion measureacceptability measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (2)

A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market

This page was built for publication: Time consistency of multi-period distortion measures