Acceptability indices of performance for bounded càdlàg processes

DOI10.1080/17442508.2019.1687705zbMath1490.60085arXiv1911.02261OpenAlexW3101740985MaRDI QIDQ5086526

Damiano Rossello, Christos E. Kountzakis

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.02261

zbMATH Keywords

Banach latticecàdlàg processesacceptability indicesRAROCintra-horizon riskperformance measures for processes

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sample path properties (60G17) Portfolio theory (91G10)

Related Items (2)

Monetary risk measures for stochastic processes via Orlicz duality ⋮ Intra‐Horizon expected shortfall and risk structure in models with jumps

Cites Work

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• Dynamic quasi concave performance measures
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• Coherent Measures of Risk
• DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE
• Marginal Conditional Stochastic Dominance
• Dynamic Risk Measures

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