A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective (1603.09030v2)

Published 30 Mar 2016 in q-fin.MF, math.OC, and math.PR

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.

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