2013/06/21 by Tomasz R. Bielecki, Bielecki, Tomasz R., Igor Cialenco +5
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60G30 #62P05 #91B06 #91B30 #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.PR #msc:60G30 #msc:62P05 #msc:91B06 #msc:91B30 #q-fin.RM
paper · pdf · doi:10.48550/arxiv.1306.5198
39 pages
openalex publication_date 2013/06/21 · arxiv created 2014/08/21 · arxiv updated 2014/08/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to significantly generalize existing results is the theory of L0-modules. In the first part of the paper we develop the general theory and provide a robust representation of conditional assessment indices, and in the second part we apply this theory to dynamic acceptability indices acting on stochastic processes.