Dynamic Coherent Acceptability Indices And Their Applications To Finance

In this paper, the authors present a theoretical framework for studying coherent acceptability indices in a dynamic setup. They study dynamic coherent acceptability indices and dynamic coherent risk measures, and they establish a duality between them. They 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, they give a specific construction of dynamic coherent acceptability indices. They also provide examples of dynamic coherent acceptability indices, both abstract and also some that generalize selected classical financial measures of portfolio performance.

Provided by: Illinois Institute of Technology Topic: CXO Date Added: May 2011 Format: PDF

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