DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE

DOI10.1111/j.1467-9965.2012.00524.xzbMath1314.91190arXiv1010.4339OpenAlexW2110070401MaRDI QIDQ2875722

Igor Cialenco, Zhao Zhang, Tomasz R. Bielecki

Publication date: 11 August 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.4339

zbMATH Keywords

time consistencydynamic coherent risk measuresdynamic GLRdynamic measures of performancedynamic coherent acceptability indexdynamic RAROCdynamically consistent sequence of sets of probability measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)

Related Items (17)

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