Coherent multiperiod risk adjusted values and Bellman¡¯s principle
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- 作者：Philippe Artzner ; Freddy Delbaen ; Jean-Marc Eber ; David Heath and Hyejin Ku
- 关键词：Bellman’ ; s principle ; Capital requirement ; Coherence ; Risk ; adjusted values ; Stability by pasting ; Time consistency
- 刊名：Annals of Operations Research
- 出版年：2007
- 出版时间：July, 2007
- 年：2007
- 卷：152
- 期：1
- 页码：5-22
- 全文大小：407 KB
文摘
Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other constructions of measurement processes are given in terms of sets of test probabilities. These latter constructions are identical and are related to the former construction when the sets fulfill a stability condition also met in multiperiod treatment of ambiguity as in decision-making. We finally deduce risk measurements for the final value of locked-in positions and repeat a warning concerning Tail-Value-at-Risk.