Dynamic assessment indices

被引：14

作者：

Bielecki, Tomasz R. ^{[1
]}

Cialenco, Igor ^{[1
]}

Drapeau, Samuel ^{[2
]}

Karliczek, Martin ^{[2
]}

机构：

[1] IIT, Dept Appl Math, Chicago, IL 60616 USA

[2] Humboldt Univ, Dept Math, Unter Linden 6, D-10099 Berlin, Germany

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2016年 / 88卷 / 01期

基金：

美国国家科学基金会;

关键词：

assessment indices; dynamic acceptability index; dynamic measures of performance; dynamic risk measures; certainty equivalent; strong time consistency; dynamic GLR; MONETARY RISK MEASURES; COHERENT; DUALITY;

D O I：

10.1080/17442508.2015.1026346

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, allows us to significantly generalize existing results is the theory of L-0-modules. In the first part of the paper we develop the general theory and provide a robust representation of conditional assessment indices, and in the second part we apply this theory to dynamic acceptability indices acting on stochastic processes.

引用

页码：1 / 44

页数：44

共 35 条

[1] Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles [J].