Time consistent dynamic risk measures

Kang, B; Filar, J

Time consistent dynamic risk measures

Kang, B Filar, J

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Publisher:: Springer
Publication Type:: Journal Article
Citation:: Mathematical Methods of Operations Research, 2006, 63 (1), pp. 169 - 186
Issue Date:: 2006-01

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Field	Value	Language
dc.contributor.author	Kang, B	en_US
dc.contributor.author	Filar, J	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	Mathematical Methods of Operations Research, 2006, 63 (1), pp. 169 - 186	en_US
dc.identifier.issn	1432-2994	en_US
dc.identifier.uri	http://hdl.handle.net/10453/8266
dc.description.abstract	We introduce the time-consistency concept that is inspired by the so-called principle of optimality of dynamic programming and demonstrate via an example that the conditional value-at-risk (CVaR) need not be time-consistent in a multi-stage case. Then, we give the formulation of the target-percentile risk measure which is time-consistent and hence more suitable in the multi-stage investment context. Finally, we also generalize the value-at-risk and CVaR to multi-stage risk measures based on the theory and structure of the target-percentile risk measure.	en_US
dc.publisher	Springer	en_US
dc.relation.ispartof	Mathematical Methods of Operations Research	en_US
dc.relation.isbasedon	10.1007/s00186-005-0045-1	en_US
dc.subject.classification	Operations Research	en_US
dc.title	Time consistent dynamic risk measures	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	63	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0103 Numerical and Computational Mathematics	en_US
utslib.for	0802 Computation Theory and Mathematics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	1	en_US
pubs.volume	63	en_US

Abstract:

We introduce the time-consistency concept that is inspired by the so-called principle of optimality of dynamic programming and demonstrate via an example that the conditional value-at-risk (CVaR) need not be time-consistent in a multi-stage case. Then, we give the formulation of the target-percentile risk measure which is time-consistent and hence more suitable in the multi-stage investment context. Finally, we also generalize the value-at-risk and CVaR to multi-stage risk measures based on the theory and structure of the target-percentile risk measure.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/8266