Dynamic assessment indices
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Publication:2803410
Abstract: 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, and which allows us to significantly generalize existing results is the theory of -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.
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Cites work
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Cited in
(17)- Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
- Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
- The algebra of conditional sets and the concepts of conditional topology and compactness
- Conditional preference orders and their numerical representations
- Estimating and backtesting risk under heavy tails
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