动态一致可接受性指数及其在金融中的应用
Dynamic Coherent Acceptability Indices and their Applications to Finance
摘要：
在本文中，我们提出了一个理论框架，研究连贯的可接受性指标的动态设置。研究了动态一致性可接受指标和动态一致性风险度量，建立了它们之间的对偶关系。利用动态相容的概率测度集序列，得到了动态一致性风险度量的一个表示定理。基于这些结果，我们给出了一个具体的结构的动态相干可接受性指标。我们还提供了动态一致的可接受性指标的例子，抽象的，也有一些概括的投资组合表现的经典金融措施。
英文摘要：
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.
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