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arxiv: 1603.09030 · v2 · pith:QTSUMTLVnew · submitted 2016-03-30 · 💱 q-fin.MF · math.OC· math.PR

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

classification 💱 q-fin.MF math.OCmath.PR
keywords timeconsistencydynamicmeasuresdiscretelm-measurenotionperformance
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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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