A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time
From MaRDI portal
Publication:5219305
DOI10.1287/moor.2017.0858zbMath1443.91099arXiv1409.7028OpenAlexW3101964740MaRDI QIDQ5219305
Tomasz R. Bielecki, Marcin Pitera, Igor Cialenco
Publication date: 11 March 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1409.7028
dynamic risk measureupdate ruletime consistencydynamic performance measuredynamic acceptability indexdynamic LM-measure
Related Items (10)
Dynamic Conic Finance via Backward Stochastic Difference Equations ⋮ Acceptability maximization ⋮ Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds ⋮ A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK ⋮ Markov decision processes with recursive risk measures ⋮ Dynamic systemic risk measures for bounded discrete time processes ⋮ Time (in)consistency of multistage distributionally robust inventory models with moment constraints ⋮ TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION ⋮ FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS ⋮ Distributionally Robust Inventory Control When Demand Is a Martingale
Cites Work
- Unnamed Item
- Unnamed Item
- Acceptability indexes via \(g\)-expectations: an application to liquidity risk
- Dynamic quasi concave performance measures
- Risk-averse dynamic programming for Markov decision processes
- Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
- Dynamic monetary risk measures for bounded discrete-time processes
- Separation and duality in locally \(L^0\)-convex modules
- Recursive multiple-priors.
- Conditional essential suprema with applications
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Coherent multiperiod risk adjusted values and Bellman's principle
- Dynamic coherent risk measures
- Conditional and dynamic convex risk measures
- Risk measures via \(g\)-expectations
- Coherent Measures of Risk
- Dynamic assessment indices
- DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE
- COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
- RISK-REWARD OPTIMIZATION WITH DISCRETE-TIME COHERENT RISK
- Dynamic Limit Growth Indices in Discrete Time
- RISK MEASURES ON ORLICZ HEARTS
- Convex risk measures and the dynamics of their penalty functions
- Dynamic Conic Finance via Backward Stochastic Difference Equations
- Updating Ambiguity Averse Preferences
- Update rules for convex risk measures
- DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
- Dynamic Risk Measures
- Conditional Risk Mappings
This page was built for publication: A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time
