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Dynamic Assessment Indices

Author

Listed:
  • Tomasz R. Bielecki
  • Igor Cialenco
  • Samuel Drapeau
  • Martin Karliczek

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.

Suggested Citation

  • Tomasz R. Bielecki & Igor Cialenco & Samuel Drapeau & Martin Karliczek, 2013. "Dynamic Assessment Indices," Papers 1306.5198, arXiv.org, revised Aug 2014.
  • Handle: RePEc:arx:papers:1306.5198
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    File URL: http://arxiv.org/pdf/1306.5198
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    Cited by:

    1. Samuel Drapeau & Asgar Jamneshan, 2014. "Conditional Preference Orders and their Numerical Representations," Papers 1410.5466, arXiv.org, revised Jan 2016.

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