A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
| Year of publication: |
February 2018
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| Authors: | Bielecki, Tomasz R. ; Cialenco, Igor ; Pitera, Marcin |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 43.2018, 1, p. 204-221
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| Subject: | time consistency | update rule | dynamic LM-measure | dynamic risk measure | dynamic acceptability index | dynamic performance measure | Zeitkonsistenz | Time consistency | Messung | Measurement | Performance-Messung | Performance measurement | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Dynamische Wirtschaftstheorie | Economic dynamics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2017.0858 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011818748