有界离散时间过程的动态货币风险度量
Dynamic monetary risk measures for bounded discrete-time processes
摘要：
我们研究的时间一致性问题的货币风险措施，依赖于有界离散时间过程描述的金融价值的演变过程。时间范围可以是有限的，也可以是无限的。我们称一个过程的货币风险措施的时间一致的，如果它分配给一个过程的金融价值相同的风险，无论它是直接计算或在两个步骤的时间倒退，我们展示了这个属性如何表现在相应的过程中的接受集。对于一致凸货币风险测度过程，利用σ-可加线性泛函的鲁棒表示，给出了时间一致性的充要条件.
英文摘要：
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of monetary risk measures time-consistent if it assigns to a process of financial values the same risk irrespective of whether it is calculated directly or in two steps backwards in time, and we show how this property manifests itself in the corresponding process of acceptance sets. For processes of coherent and convex monetary risk measures admitting a robust representation with sigma-additive linear functionals, we give necessary and sufficient conditions for time-consistency in terms of the representing functionals.
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