A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective

英文摘要：

In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operational concepts used throughout are the notion of the LM-measure and the notion of the update rule that, we believe, are the key tools for studying time consistency in a unified framework.