Before revision: In this paper we explore a novel way to combine the dynamic notion of time-consistency with the static notion of quantile-based coherent risk-measure or spectral risk measure, of which Expected Shortfall is a prime example.
After revision: In this paper we explore a novel way to combine the dynamic notion of time-consistency with the static notion of quantile-based coherent risk measure or spectral risk measure, of which Expected Shortfall is a prime example.