Dynamic Assessment Indices

Authors

Tomasz Bielecki, Igor Cialenco, Samuel Drapeau and Martin Karliczek

Date

2016

Journal

Stochastics, 88(1):1-44

Abstract

This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to significantly generalize existing results is the theory of \(L^0\)-modules. In the first part of the paper we develop the general theory and provide a robust representation of conditional assessment indices, and in the second part we apply this theory to dynamic acceptability indices acting on stochastic processes.

Keywords

Assessment indices, Dynamic acceptability index, Dynamic measures of performance, Dynamic risk measures, Certainty equivalent, Strong time consistency, Dynamic GLR

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