Dynamic coherent acceptability indices and their applications to finance

DOI10.1111/J.1467-9965.2012.00524.XzbMATH Open1314.91190arXiv1010.4339OpenAlexW2110070401MaRDI QIDQ2875722FDOQ2875722

Authors: Tomasz R. Bielecki, Igor Cialenco, Zhao Zhang 

Publication date: 11 August 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Abstract: In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, and we establish a duality between them. We derive a representation theorem for dynamic coherent risk measures in terms of so called dynamically consistent sequence of sets of probability measures. Based on these results, we give a specific construction of dynamic coherent acceptability indices. We also provide examples of dynamic coherent acceptability indices, both abstract and also some that generalize selected classical financial measures of portfolio performance.

Full work available at URL: https://arxiv.org/abs/1010.4339

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zbMATH Keywords

time consistencydynamic coherent risk measuresdynamic GLRdynamic measures of performancedynamic coherent acceptability indexdynamic RAROCdynamically consistent sequence of sets of probability measures

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cited In (21)

• Short communication: utility-based acceptability indices
• Good deal hedging and valuation under combined uncertainty about drift and volatility
• Conditional preference orders and their numerical representations
• Star-shaped acceptability indexes
• Long run risk sensitive portfolio with general factors
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• Acceptability indexes via \(g\)-expectations: an application to liquidity risk
• Intra‐Horizon expected shortfall and risk structure in models with jumps
• Bid and ask prices as non-linear continuous time G-expectations based on distortions
• DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
• A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Dynamic quasi concave performance measures
• Acceptability maximization
• Collective dynamic risk measures
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• Acceptability indexes for portfolio vectors
• Dynamic conic finance via backward stochastic difference equations
• From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
• Dynamic Limit Growth Indices in Discrete Time
• Acceptability indices of performance for bounded càdlàg processes

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