Zhao Zhang

Illinois Institute of Technology

Stuart Graduate School of Business

565 W. Adams St.

Chicago, IL 60661

United States

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Dynamic Coherent Acceptability Indices and Their Applications to Finance

Mathematical Finance, Vol. 24, Issue 3, pp. 411-441, 2014
Number of pages: 31 Posted: 11 Jun 2014
Illinois Institute of Technology, Illinois Institute of Technology and Illinois Institute of Technology
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Abstract:

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dynamic coherent acceptability index, dynamic measures of performance, dynamic coherent risk measures, dynamically consistent sequence of sets of probability measures, time consistency, dynamic GLR, dynamic RAROC