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Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions
We prove that these two classes of risk measures coincides.
Acceptability maximization
Using robust representations of CAIs in terms of a family of dynamic coherent risk measures (DCRMs), we establish an intriguing dichotomy: if the corresponding family of DCRMs is recursive (i. e. strongly time consistent) and assuming some recursive structure of the market model, then the acceptability maximization problem reduces to just a one period problem and the maximal acceptability is constant across all states and times.
Fair Estimation of Capital Risk Allocation
In this paper we develop a novel methodology for estimation of risk capital allocation.
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