Time consistency of multi-period distortion measures

DOI10.1524/STRM.2012.1115MaRDI QIDQ2048192zbMATH OpenOpenAlexFDO

Authors Vicky Fasen, Adéla Švejda

Publication date 5 August 2021

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/20.500.11850/56084

zbMATH Keywords

acceptability measurecoherenceconditional consistencydistortion measuredynamic consistencyrisk measuresequential consistencytail-value-at-risktime-consistency

Mathematics Subject Classification ID

Portfolio theory (91G10) Statistical methods; risk measures (91G70)

Recommendations

• Time consistent dynamic risk measures
• Time consistency conditions for acceptability measures, with an application to tail value at risk
• Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
• Time consistency of dynamic risk measures
• Tail VaR measures in a multi-period setting

Cited in

(7)

• Pricing American options by a Fourier transform multinomial tree in a conic market
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Time consistent dynamic risk measures
• Time-consistency of risk measures with GARCH volatilities and their estimation
• Tail VaR measures in a multi-period setting
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Time consistency conditions for acceptability measures, with an application to tail value at risk

This page was built for publication: Time consistency of multi-period distortion measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2048192)