A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time
A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time
复制标题
离散时间动态风险度量和动态绩效度量时间一致性的统一方法
DOI：
10.1287/moor.2017.0858
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发表时间：
2014
期刊：
影响因子：
--
通讯作者：
Marcin Pitera
中科院分区：
文献类型：
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作者：
T. Bielecki;Igor Cialenco;Marcin Pitera
本文为风险和业绩指标的时间一致性研究提供了一个统一而灵活的框架。拟议的框架整合了现有的时间一致性形式以及它们之间的各种联系。在我们的方法中，时间一致性研究了一个大类的映射，假设只满足两个性质{单调性和局部性。这使得我们的框架相当通用。时间一致性是根据一个更新规则（一个新的概念，在本文中引入。我们设计了各种更新规则，允许恢复几种已知形式的时间一致性，并研究了一些新的形式的时间一致性。
In this paper we provide a unied and exible framework for study of the time consistency of risk and performance measures. The proposed framework integrates existing forms of time consistency as well as various connections between them. In our approach the time consistency is studied for a large class of maps that are postulated to satisfy only two properties { monotonicity and locality. This makes our framework fairly general. The time consistency is dened in terms of an update rule { a novel notion introduced in this paper. We design various updates rules that allow to recover several known forms of time consistency, and to study some new forms of time consistency.