Fetching the paper…
Reading the bibliography…
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).
Methods of mathematical finance
I. Karatzas and S. E. Shreve · 1998
Earlier work this paper cites.
Coherent measures of risk
P. Artzner, F. Delbaen, J.-M. Eber, and D. Heath · 1999
Earlier work this paper cites.
Conditional essential suprema with applications
E. N. Barron, P. Cardaliaguet, and R. Jensen · 2003
Earlier work this paper cites.
Recursive multiple-priors
L.G. Epstein and M. Schneider · 2003
Earlier work this paper cites.
Dynamic coherent risk measures
F. Riedel · 2004
Earlier work this paper cites.
Conditional and dynamic convex risk measures
K. Detlefsen and G. Scandolo · 2005
Earlier work this paper cites.
Dynamic monetary risk measures for bounded discrete-time processes
P. Cheridito, F. Delbaen, and M. Kupper · 2006
Earlier work this paper cites.
The structure of m-stable sets and in particular of the set of risk neutral measures
F. Delbaen · 2006
Earlier work this paper cites.
Convex risk measures and the dynamics of their penalty functions
H. Föllmer and I. Penner · 2006
Earlier work this paper cites.
Risk measures via g-expectations
E. Rosazza Gianin · 2006
Earlier work this paper cites.
Conditional risk mappings
A. Ruszczyński and A. Shapiro · 2006
Earlier work this paper cites.
Coherent multiperiod risk adjusted values and Bellman’s principle
P. Artzner, F. Delbaen, J.-M. Eber, D. Heath, and H. Ku · 2007
Cited alongside, same era.
Dynamic Convex Risk Measures: Time Consistency, Prudence, and Sustainability
I. Penner · 2007
Cited alongside, same era.
Update rules for convex risk measures
S. Tutsch · 2008
Cited alongside, same era.
Risk measures on Orlicz hearts
P. Cheridito and T. Li · 2009
Cited alongside, same era.
New measures for performance evaluation
A. Cherny and D.B. Madan · 2009
Cited alongside, same era.
Separation and duality in locally
D. Filipovic, M. Kupper, and N. Vogelpoth · 2009
Cited alongside, same era.
Composition of time-consistent dynamic monetary risk measures in discrete time
P. Cheridito and M. Kupper · 2011
Later among the works it cites.
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
B. Acciaio, H. Föllmer, and I. Penner · 2012
Later among the works it cites.
Dynamic Conic Finance: Pricing and hedging via dynamic coherent acceptability indices with transaction costs
T.R. Bielecki, I. Cialenco, I. Iyigunler, and R. Rodriguez · 2013
Later among the works it cites.
Reward-Risk Ratio
P. Cheridito and E. Kromer · 2013
Later among the works it cites.
Acceptability indexes via
E. Rosazza Gianin and E. Sgarra · 2013
Later among the works it cites.
Dynamic quasi-concave performance measures
S. Biagini and J. Bion-Nadal · 2014
Closest in time.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Updating ambiguity averse preferences
E. Hanany and P. Klibanoff · 2009
Cited alongside, same era.
Risk-reward optimization with discrete-time coherent risk
A. Cherny · 2010
Cited alongside, same era.
Convex risk measures
H. Föllmer and A. Schied · 2010
Cited alongside, same era.
Risk-averse dynamic programming for Markov decision processes
A. Ruszczyński · 2010
Cited alongside, same era.
Dynamic risk measures
B. Acciaio and I. Penner · 2011
Cited alongside, same era.
Dynamic coherent acceptability indices and their applications to finance
T.R. Bielecki, I. Cialenco, and Z. Zhang · 2014
Closest in time.
Dynamic conic finance via Backward Stochastic Difference Equations
T.R. Bielecki, I. Cialenco, and T. Chen · 2015
Closest in time.
Dynamic limit growth indices in discrete time
T.R. Bielecki, I. Cialenco, and M. Pitera · 2015
Closest in time.
Dynamic assessment indices
T.R. Bielecki, I. Cialenco, S. Drapeau, and M. Karliczek · 2016
Closest in time.
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
T.R. Bielecki, I. Cialenco, and M. Pitera · 2016
Closest in time.