A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective

Tomasz R. Bielecki, Igor Cialenco and Marcin Pitera

Papers from arXiv.org

Abstract: 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.

Date: 2016-03, Revised 2017-01
New Economics Papers: this item is included in nep-pke
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1603.09030

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