Dynamic Limit Growth Indices in Discrete Time
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.
Year of publication: |
2013-12
|
---|---|
Authors: | Bielecki, Tomasz R. ; Cialenco, Igor ; Pitera, Marcin |
Institutions: | arXiv.org |
Saved in:
Saved in favorites
Similar items by person
-
On time consistency of dynamic risk and performance measures in discrete time
Bielecki, Tomasz R., (2014)
-
Fair estimation of capital risk allocation
Bielecki, Tomasz R., (2020)
-
Bielecki, Tomasz R., (2018)
- More ...