Dynamic assessment indices

DOI10.1080/17442508.2015.1026346zbMath1414.91420arXiv1306.5198OpenAlexW2116421056MaRDI QIDQ2803410

Martin Karliczek, Tomasz R. Bielecki, Igor Cialenco, Samuel Drapeau

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.5198

zbMATH Keywords

certainty equivalentdynamic risk measuresstrong time consistencydynamic acceptability indexassessment indicesdynamic GLRdynamic measures of performance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (15)

Conditional preference orders and their numerical representations ⋮ Estimating and backtesting risk under heavy tails ⋮ Dynamic Conic Finance via Backward Stochastic Difference Equations ⋮ Acceptability maximization ⋮ Parameter-dependent stochastic optimal control in finite discrete time ⋮ Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ Reinforcement learning with dynamic convex risk measures ⋮ Measures and integrals in conditional set theory ⋮ A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK ⋮ The algebra of conditional sets and the concepts of conditional topology and compactness ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Acceptability indexes for portfolio vectors ⋮ Булевозначный подход к анализу условного риска ⋮ A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time

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