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
基金Tomasz R.Bielecki and Igor Cialenco acknowledge support from the NSF grant DMS-1211256.Part of the research was performed while Igor Cialenco was visiting the Institute for Pure and Applied Mathematics(IPAM),which is supported by the National Science Foundation.Marcin Pitera acknowledges the support by Project operated within the Foundation for Polish Science IPP Programme“Geometry and Topology in Physical Model”co-financed by the EU European Regional Development Fund,Operational Program Innovative Economy 2007–2013.
文摘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.
