15 citations · 54 across the 23 of their papers we have counts for
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q-fin.MF2016
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
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 operatio…
q-fin.RM2016
Unbiased estimation of risk
Marcin Pitera, Thorsten Schmidt
The estimation of risk measures recently gained a lot of attention, partly because of the backtesting issues of expected shortfall related to elicitability. In this work we shed a…