Coherent multiperiod risk adjusted values and Bellman's principle

Coherent Multiperiod Risk Measurement

We explain why and how to deal with the definition, acceptability, computation and management of risk in a genuinely multitemporal way. Coherence axioms provide a representation of a risk-adjusted valuation. Some special cases of practical interest allowing for easy recursive computations are presented. The multiperiod extension of Tail VaR is discussed. 1. NEW QUESTIONS WITH MULTIPERIOD RISK R...

Coherent Acceptability Measures in Multiperiod Models

The framework of coherent risk measures has been introduced by Artzner et al. (1999) in a single-period setting. Here we investigate a similar framework in a multiperiod context. We add an axiom of dynamic consistency to the standard coherence axioms, and obtain a representation theorem in terms of collections of multiperiod probability measures that satisfy a certain product property. This the...

Randomized stopping times and coherent multiperiod risk measures

MULTIPERIOD CREDIBILITIC MEAN SEMI-ABSOLUTE DEVIATION PORTFOLIO SELECTION

In this paper, we discuss a multiperiod portfolio selection problem with fuzzy returns. We present a new credibilitic multiperiod mean semi- absolute deviation portfolio selection with some real factors including transaction costs, borrowing constraints, entropy constraints, threshold constraints and risk control. In the proposed model, we quantify the investment return and risk associated with...

Multiperiod mean-standard-deviation time consistent portfolio selection

We study a multiperiod portfolio selection problem in which a single period meanstandard-deviation criterion is used to construct a separable multiperiod selection criterion. Using this criterion, we obtain a closed form optimal strategy which depends on selection schemes of investor’s risk preference. As a consequence, we develop a multiperiod portfolio selection scheme. In doing so, we adapt ...