Time Consistent Dynamic Risk Measures
Time Consistent Dynamic Risk Measures
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DOI：
10.1007/s00186-005-0045-1
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发表时间：
2006-01
影响因子：
1.2
通讯作者：
Boda Kang;J. Filar
中科院分区：
文献类型：
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作者：
Boda Kang;J. Filar
我们引入时间一致性的概念，灵感来自所谓的“最优性原则”的动态规划和演示-通过一个例子-的条件风险价值（CVaR）不需要在多阶段的情况下是时间一致的。然后，我们给出了目标百分位数风险度量的公式，它是时间一致的，因此更适合于多阶段的投资背景。最后，基于目标百分位数风险度量的理论和结构，将在险价值和CVaR推广到多阶段风险度量。
We introduce the time-consistency concept that is inspired by the so-called “principle of optimality” of dynamic programming and demonstrate – via an example – that the conditional value-at-risk (CVaR) need not be time-consistent in a multi-stage case. Then, we give the formulation of the target-percentile risk measure which is time-consistent and hence more suitable in the multi-stage investment context. Finally, we also generalize the value-at-risk and CVaR to multi-stage risk measures based on the theory and structure of the target-percentile risk measure.