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Conditional risk measures and time consistency

Time-Consistency: from Optimization to Risk Measures

Time-Consistency: from Optimization to Risk Measures

... implies time-consistency when solutions are looked after as feedback policies that are functions of the state ...proving time-consistency for a dynamic risk measure appears rather easy ...

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Conditional and dynamic convex risk measures

Conditional and dynamic convex risk measures

... convex risk measure to a conditional framework where additional information is ...these risk measures through the associated acceptance sets and prove a representation result in terms of ...

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Conditional and Dynamic Convex Risk Measures

Conditional and Dynamic Convex Risk Measures

... convex risk measure to a conditional framework where additional information is ...these risk measures through the associated acceptance sets and prove a representation result in terms of ...

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

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

... dynamic risk and performance measures focusing on the time consistency prop- erty in the discrete time ...to time consistent assessment of preferences” is devoted to the ...

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Bootstrap inference for conditional risk measures

Bootstrap inference for conditional risk measures

... of time series models we construct asymptotically valid sample-split intervals, without relying on the assumption of observing two independent processes, and show that these intervals coincide asymptotically with ...

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Time consistency in managing a commodity portfolio: a dynamic risk

Time consistency in managing a commodity portfolio: a dynamic risk

... Moreover, this form of dynami value measure has the appealing feature of disentangling the omponents of risk aross states of nature and temporal substitution and making them transparent to the deision maker. These ...

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Time-consistency in managing a commodity portfolio: a dynamic risk

Time-consistency in managing a commodity portfolio: a dynamic risk

... Moreover, this form of dynami value measure has the appealing feature of disentangling the omponents of risk a ross states of nature and temporal substitution and making them transparent to the de ision maker. ...

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Real-valued conditional convex risk measures in
            Lp(ℱ, R)

Real-valued conditional convex risk measures in Lp(ℱ, R)

... convex risk measures beyond essentially bounded financial positions is an important topic which has been the theme of recent ...i.e., conditional convex risk ...of conditional convex ...

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Time Discounting and Time Consistency

Time Discounting and Time Consistency

... When is it rational to prefer a cake now over a promise of a bottle of wine in a month, and also to prefer a bottle of wine in three months over a cake in two months? This is rational in case the promise of the wine in a ...

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Consistency Among Visual Memory Measures

Consistency Among Visual Memory Measures

... in a 2 x 3 grid array. After a 10-second exposure, the examinee is asked to draw the observed figures in their proper locations using an empty 2 x 3 grid that is provided (Benedict, 1997; Lezak et al., 2012). Following ...

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On the strong consistency of the kernel estimator of extreme conditional quantiles

On the strong consistency of the kernel estimator of extreme conditional quantiles

... the conditional distribution function are extensively investigated in the sample case [3, 27, 29, ...[1], time series [14], functional data [11] and truncated data [25] are also ...to conditional ...

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Intertemporal stability of survey based measures of risk and time preferences

Intertemporal stability of survey based measures of risk and time preferences

... of time requires that one take into account possible changes in the ‘states of ...over time in conjunction with other behavioral patterns and characteristics of respondents, is definitely a step towards the ...

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Intertemporal stability of survey-based measures of risk and time preferences

Intertemporal stability of survey-based measures of risk and time preferences

... estimate risk param- ...the time of ...over time, preference parameters have to be separately measured and accounted for in each time period ( Meier and Sprenger , 2015 ...of time, then ...

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Estimation of Market Risk Measures in Mexican Financial Time Series

Estimation of Market Risk Measures in Mexican Financial Time Series

... of time, appropriately estimate risk measures (VaR and Expected Shortfall) for Mexican financial series, at high confidence levels; ii) the estimates yielded by such model are better than those given ...

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Consistency of the proposed additive measures of revealed comparative advantage

Consistency of the proposed additive measures of revealed comparative advantage

... index measures the deviations of country i ’s exports in industry j from its com- parative neutral level, scaled down by the total world ...across time, it is biased over industries and ...across ...

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Optimization of Conditional Value-at-Risk

Optimization of Conditional Value-at-Risk

... computer time. The calculation time could be significantly improved using the algorithm implemented with FORTRAN or C, however such computational studies were beyond the scope of this ...

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A New Class of Time Consistent Dynamic Risk Measures and its Application

A New Class of Time Consistent Dynamic Risk Measures and its Application

... downside risk and rewards upside potential together, meanwhile distorting the financial value, this paper proposes a new class of one-period risk ...dynamic time consistent risk measure using ...

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Asymptotic results for conditional measures of association of a random sum

Asymptotic results for conditional measures of association of a random sum

... Abstract. Asymptotic results are obtained for several conditional mea- sures of association. The chosen random variables are the first two order statistics and the total sum within a random sum. Many of the ...

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Training Conditional Random Fields with Multivariate Evaluation Measures

Training Conditional Random Fields with Multivariate Evaluation Measures

... That is, g(y, x, s j , λ) = max y 0 ∈Y | y | [ y sj ] λ · F (y 0 , x). (15) Note again that the same output y ˆ can be obtained using Eqs. 1 and 15, as with the piece-wise dis- criminant function described above. This ...

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CiteSeerX — Implicit attitude measures: Consistency, stability, and convergent validity

CiteSeerX — Implicit attitude measures: Consistency, stability, and convergent validity

... attitude measures fail to cor- relate significantly across time, we found that such measures, when analyzed as latent variables, are quite ...

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