期刊文献+
共找到1篇文章
< 1 >
每页显示 20 50 100
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
1
作者 Tomasz R.Bielecki Igor Cialenco M.Pitera 《Probability, Uncertainty and Quantitative Risk》 2017年第1期35-86,共52页
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 no... 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 LMmeasure and the notion of the update rule that,we believe,are the key tools for studying time consistency in a unified framework. 展开更多
关键词 Time consistency Update rule Dynamic LM-measure Dynamic risk measure Dynamic acceptability index Measure of performance
原文传递
上一页 1 下一页 到第
使用帮助 返回顶部