This thesis presents a unified framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent... Show moreThis thesis presents a unified framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures. In particular, we establish a duality between them. We derive representation theorems for both dynamic coherent acceptability indices and dynamic coherent risk measures in terms of so called dynamically consistent sequence of sets of probability measures. In addition, we present an alternative approach to study dynamic coherent acceptability indices and the representation theorem. Finally, we provide examples and counterexamples of dynamic coherent acceptability indices, and their applications in portfolio management. Ph.D. in Applied Mathematics, May 2011 Show less
