Dynamic Limit Growth Indices in Discrete Time

Tomasz R. Bielecki, Igor Cialenco and Marcin Pitera

Papers from arXiv.org

Abstract: We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measure the long-run performance of a financial portfolio in discrete time setup. We study various important properties for this new class of measures, and in particular, we provide necessary and sufficient condition for a Dynamic Limit Growth Index to be a dynamic assessment index. We also establish their connection with classical dynamic acceptability indices, and we show how to construct examples of Dynamic Limit Growth Indices using dynamic risk measures and dynamic certainty equivalents. Finally, we propose a new definition of time consistency, suitable for these indices, and we study time consistency for the most notable representative of this class -- the dynamic analog of risk sensitive criterion.

Date: 2013-12, Revised 2014-07
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1312.1006 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1312.1006

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().