A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
复制标题
离散时间动态风险度量和动态绩效度量的时间一致性调查：LM-度量视角
DOI：
10.1186/s41546-017-0012-9
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发表时间：
2016
期刊：
影响因子：
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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
在这项工作中，我们给出了一个全面的概述的时间一致性属性的动态风险和性能的措施，专注于离散时间设置。贯穿始终的两个关键操作概念是LM措施的概念和更新规则的概念，我们相信，是在一个统一的框架中研究时间一致性的关键工具。
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 LM-measure and the notion of the update rule that, we believe, are the key tools for studying time consistency in a unified framework.