Jocelyne Bion-Nadal

École Polytechnique, Paris

1 rue Descartes

Paris, 75005

France

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Scholarly Papers (1)

1.

Dynamic Quasi Concave Performance Measures

Number of pages: 29 Posted: 08 Jan 2013
Sara Biagini and Jocelyne Bion-Nadal
LUISS University and École Polytechnique, Paris
Downloads 67 (733,140)

Abstract:

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Conditional performance measure, conditional acceptability index, induced family of risk measures, dynamic performance measure, time consistency, risk to reward ratio