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Bawa, Vijay S., and Eric B. Lindenberg. "Capital market equilibrium in a mean-lower partial moment framework." Journal of Financial Economics 5, no. 2 (1977): 189-200. doi:10.1016/0304-405X(77)90017-4

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• TITLE: A New Class of Time-Consistent Dynamic Risk Measures and its Application

  AUTHORS: Rui Gao, Zhiping Chen

  KEYWORDS: Dynamic Risk Measure; Time-Consistent; Cash-Subadditive; Portfolio Optimization; Stochastic Programming

  JOURNAL NAME: Technology and Investment, Vol.4 No.1B, January 17, 2013

  ABSTRACT: We construct a new time consistent dynamic convex cash-subadditive risk measure in this paper. Different from exist-ing measures, both potential loss and volatility of risky objects are considered. Based on a one-period measure that dis-torts financial values, punishes downside risk yet rewards upside potential, a dynamic time consistent version is con-structed recursively through a modified translation property. We then establish a portfolio selection model and give its optimal condition.