英文标题：
《Dynamic Limit Growth Indices in Discrete Time》
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作者：
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
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最新提交年份：
2014
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英文摘要：
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.
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中文摘要：
我们提出了一类新的映射，称为动态极限增长指数（Dynamic Limit Growth Index），旨在衡量离散时间环境下金融投资组合的长期绩效。我们研究了这类新测度的各种重要性质，特别是，我们给出了动态极限增长指数成为动态评估指数的充要条件。我们还建立了它们与经典动态可接受性指数的联系，并展示了如何使用动态风险度量和动态确定性等价物构建动态极限增长指数的示例。最后，我们提出了一个适用于这些指标的时间一致性的新定义，并研究了这类指标中最显著的代表——风险敏感准则的动态模拟——的时间一致性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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