Randomized stopping times and coherent multiperiod risk measures
نویسنده
چکیده
منابع مشابه
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...
متن کاملOptimal Stopping for Dynamic Convex Risk Measures
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem in which the decision maker uses a dynamic convex risk measure to evaluate future rewards.
متن کاملCoherent multiperiod risk adjusted values and Bellman's principle
Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other constructions of measurement processes are given in terms of sets of test probabilities. These latter constructions are identical and are related to the former construction when the sets fulfill a stability condition also met in multiperiod treatment of ambiguity as i...
متن کاملMultiperiod Maximum Loss is time unit invariant
Time unit invariance is introduced as an additional requirement for multiperiod risk measures: for a constant portfolio under an i.i.d. risk factor process, the multiperiod risk should equal the one period risk of the aggregated loss, for an appropriate choice of parameters and independent of the portfolio and its distribution. Multiperiod Maximum Loss over a sequence of Kullback-Leibler balls ...
متن کاملStochastic Programming of Time-Consistent Extensions of AVaR
We discuss multiperiod stochastic programming formulations of time-consistent extensions of average value-at-risk (AVaR); AVaR measures the risk of a random financial value. Multiperiod risk measures that are recursively defined over time are known to be time consistent. For a multiperiod extension of AVaR for stochastic value processes, we reformulate the recursion as a linear stochastic progr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2012