Work

Dynamic Limit Growth Indices in Discrete Time

Year: 2013

Type: preprint

Abstract: We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measure the long-run performance of a financial portfolio in discrete time setup. We study various important properties for this new class of measures, and in particular, we provide necessary and sufficient condition for a Dynamic Limit Growth Index to be a dynamic assessment index. We also establish their connection with classical dynamic acceptability indices, and we show how to construct examples of Dynamic Limit Growth Indices using dynamic risk measures and dynamic certainty equivalents. Finally, we propose a new definition of time consistency, suitable for these indices, and we study time consistency for the most notable representative of this class -- the dynamic analog of risk sensitive criterion.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1312.1006

Authors: Bielecki, Tomasz R., Cialenco, Igor, Pitera, Marcin

Institutions: Illinois Institute of Technology, Jagiellonian University

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

Funders: National Science Foundation, Fundacja na rzecz Nauki Polskiej, European Regional Development Fund

Awards: AMC-SS: Mathematical foundations of responsible risk management in credit markets, G496129201, G5803244198, Topics in stochastic processes and mathematical finance: counterparty risk valuation and hedging, Markov consistency and Markov copulae, and dynamic performance assessment indices

OpenAlex ID: W2950285305

Cites: 14

Cited by: 2

Related to: 20