Zhao Zhang

  1. Dynamic Coherent Acceptability Indices and their Applications to Finance.

    Authors: Igor Cialenco, Tomasz R. Bielecki, Zhao Zhang
    Subjects: Risk Management
    Abstract

    In this paper we present a theoretical framework for studying coherent
    acceptability indices in a dynamic setup. We study dynamic coherent
    acceptability indices and dynamic coherent risk measures, and we establish a
    duality between them. We derive a representation theorem for dynamic coherent
    risk measures in terms of so called dynamically consistent sequence of sets of
    probability measures. Based on these results, we give a specific construction
    of dynamic coherent acceptability indices.

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