英文标题：
《Equivalence Between Time Consistency and Nested Formula》
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作者：
Henri G\\\'erard (CERMICS), Michel de Lara (CERMICS), Jean-Philippe
Chancelier (CERMICS, MATHRISK)
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最新提交年份：
2019
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英文摘要：
You are a financial analyst. At the beginning of every week, you are able to rank every pair of stochastic processes starting from that week up to the horizon. Suppose that two processes are equal at the beginning of the week. Your ranking procedure is time consistent if the ranking does not change between this week and the next one. In this paper, we propose a minimalist definition of Time Consistency (TC) between two (assessment) mappings. With very few assumptions, we are able to prove an equivalence between Time Consistency and a Nested Formula (NF) between the two mappings. Thus, in a sense, two assessments are consistent if and only if one is factored into the other. We review the literature and observe that the various definitions of TC (or of NF) are special cases of ours, as they always include additional assumptions. By stripping off these additional assumptions, we present an overview of the literature where the contribution of each author is enlightened.
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中文摘要：
你是一名金融分析师。在每周开始时，您可以对从该周开始到地平线的每对随机过程进行排序。假设一周开始时两个过程相等。如果排名在本周和下一周之间没有变化，那么你的排名过程是时间一致的。在本文中，我们提出了两个（评估）映射之间的时间一致性（TC）的一个极简定义。通过很少的假设，我们能够证明时间一致性和两个映射之间的嵌套公式（NF）之间的等价性。因此，在某种意义上，两种评估是一致的，当且仅当一种评估被纳入另一种评估时。我们回顾了文献，发现TC（或NF）的各种定义都是我们的特例，因为它们总是包含额外的假设。通过剥离这些额外的假设，我们对每一位作者的贡献都有所启发的文献进行了概述。
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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：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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