Dynamic Limit Growth Indices in Discrete Time

DOI10.1080/15326349.2015.1053616MaRDI QIDQ3194564zbMATH OpenOpenAlexFDO

Authors Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera

Publication date 20 October 2015

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.1006

zbMATH Keywords

dynamic acceptability indexdynamic assessment indexdynamic limit growth indexdynamic time consistencyentropic risk measureKelly criterionmeasure of performancerisk-sensitive controlrisk-sensitive criteria

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Abstract: 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.

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Cites work

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Cited in

(7)

• Voracity and growth in discrete time
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Dynamic assessment indices
• Long run risk sensitive portfolio with general factors
• Dynamic conic finance via backward stochastic difference equations
• A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
• Existence of bounded solutions to multiplicative Poisson equations under mixing property

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