Tight Approximations of Dynamic Risk Measures (Q3449453): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / OpenAlex ID
 
Property / OpenAlex ID: W2106549991 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1106.6102 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic Risk Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent risk measures in inventory problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent multiperiod risk adjusted values and Bellman's principle / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the monotonization of polyhedra / rank
 
Normal rank
Property / cites work
 
Property / cites work: On unions and dominants of polytopes / rank
 
Normal rank
Property / cites work
 
Property / cites work: AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT / rank
 
Normal rank
Property / cites work
 
Property / cites work: Constructing Uncertainty Sets for Robust Linear Optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time consistent dynamic risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating conditional tail expectation with actuarial applications in view / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic monetary risk measures for bounded discrete-time processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Dynamic Trading Strategies with Risk Limits / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional and dynamic convex risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integrated Optimization of Procurement, Processing, and Trade of Commodities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Recursive multiple-priors. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex risk measures and the dynamics of their penalty functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex measures of risk and trading constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the complexity of four polyhedral set containment problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maxmin expected utility with non-unique prior / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Iterated Cte / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Dynamic Programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4552656 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ambiguity Aversion, Robustness, and the Variational Representation of Preferences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Control of Markov Decision Processes with Uncertain Transition Matrices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3549501 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Solving Multistage Stochastic Programs with Coherent Risk Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic coherent risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time consistency conditions for acceptability measures, with an application to tail value at risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk-averse dynamic programming for Markov decision processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Risk Mappings / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5201296 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integral Representation Without Additivity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Subjective Probability and Expected Utility without Additivity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimax and risk averse multistage stochastic programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic capital allocation with distortion risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: A synthesis of risk measures for capital adequacy / rank
 
Normal rank

Latest revision as of 01:08, 11 July 2024

scientific article
Language Label Description Also known as
English
Tight Approximations of Dynamic Risk Measures
scientific article

    Statements

    Tight Approximations of Dynamic Risk Measures (English)
    0 references
    0 references
    0 references
    4 November 2015
    0 references
    coherent risk measures
    0 references
    dynamic consistency
    0 references
    tight approximations
    0 references
    submodular functions
    0 references
    polymatroids
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references