A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
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Publication:2296091
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.
Recommendations
- A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
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- Composition of time-consistent dynamic monetary risk measures in discrete time
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Time-consistency of risk measures: how strong is such a property?
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(23)- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
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