IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Dynamic Coherent Acceptability Indices and their Applications to Finance

  • Tomasz R. Bielecki
  • Igor Cialenco
  • Zhao Zhang
Registered author(s):

    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. We also provide examples of dynamic coherent acceptability indices, both abstract and also some that generalize selected classical financial measures of portfolio performance.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://arxiv.org/pdf/1010.4339
    File Function: Latest version
    Download Restriction: no

    Paper provided by arXiv.org in its series Papers with number 1010.4339.

    as
    in new window

    Length:
    Date of creation: Oct 2010
    Date of revision: May 2011
    Handle: RePEc:arx:papers:1010.4339
    Contact details of provider: Web page: http://arxiv.org/

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
    2. Berend Roorda & J. M. Schumacher & Jacob Engwerda, 2005. "Coherent Acceptability Measures In Multiperiod Models," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 589-612.
    3. A. Jobert & L. C. G. Rogers, 2007. "Valuations and dynamic convex risk measures," Papers 0709.0232, arXiv.org.
    4. Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612.
    5. Riedel, Frank, 2004. "Dynamic coherent risk measures," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.
    6. Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, vol. 3(4), pages 451-482.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:arx:papers:1010.4339. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.