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

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  • In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operational concepts used throughout are the notion of the LMmeasure and the notion of the update rule that, we believe, are the key tools for studying time consistency in a unified framework.
    Mathematics Subject Classification: 91B30;62P05;97M30;91B06.


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