Dynamic Limit Growth Indices in Discrete Time
نویسندگان
چکیده
We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measure the long-run performance of a nancial portfolio in discrete time setup. We study various important properties for this new class of measures, and in particular, we provide necessary and su cient condition for a Dynamic Limit Growth Index to be a dynamic assessment index. We also establish their connection with classical dynamic acceptability indices, and we show how to construct examples of Dynamic Limit Growth Indices using dynamic risk measures and dynamic certainty equivalents. Finally, we propose a new de nition of time consistency, suitable for these indices, and we study time consistency for the most notable representative of this class the dynamic analog of risk sensitive criterion.
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