Computational dynamic market risk measures in discrete time setting

Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes

We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of monetary risk measures time-consistent if it assigns to a process of financial values the same risk irrespective of whether it is calculated directly or in two ste...

A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time

In this paper we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures, also known as acceptability indices. The proposed framework integrates existing forms of time consistency. In our approach the time consistency is studied for a large class of maps that are postulated to satisfy only two properties – monotonicity and locality...

A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective

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 LMmeasure and the notion of the update rule that, we believe, are the key tools for studying time consistency in a unified framework.

Time Consistent Dynamic Risk Measures

On time consistency of dynamic risk and performance measures in discrete time

In this paper we provide a unified and flexible framework for study of the time consistency of risk and performance measures. The proposed framework integrates existing forms of time consistency as well as various connections between them. In our approach the time consistency is studied for a large class of maps that are postulated to satisfy only two properties – monotonicity and locality. Thi...