Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals (Q2806826): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1287/moor.2015.0747
+Normal rank
@@ Property / OpenAlex ID @@
+W2266738696
@@ Property / OpenAlex ID: W2266738696 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent multiperiod risk adjusted values and Bellman's principle
+Normal rank
@@ Property / cites work @@
+Time-consistent approximations of risk-averse multistage stochastic optimization problems
+Normal rank
@@ Property / cites work @@
+Dynamic consistency for stochastic optimal control problems
+Normal rank
@@ Property / cites work @@
+Recursiveness of indifference prices and translation-invariant preferences
+Normal rank
@@ Property / cites work @@
+COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
+Normal rank
@@ Property / cites work @@
+Q3202346
@@ Property / cites work: Q3202346 / rank @@
+Normal rank
@@ Property / cites work @@
+Tight Approximations of Dynamic Risk Measures
@@ Property / cites work: Tight Approximations of Dynamic Risk Measures / rank @@
+Normal rank
@@ Property / cites work @@
+Law invariant risk measures have the Fatou property
+Normal rank
@@ Property / cites work @@
+Q3656698
@@ Property / cites work: Q3656698 / rank @@
+Normal rank
@@ Property / cites work @@
+Representation results for law invariant time consistent functions
+Normal rank
@@ Property / cites work @@
+Q4552656
@@ Property / cites work: Q4552656 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
+Normal rank
@@ Property / cites work @@
+Dual Stochastic Dominance and Related Mean-Risk Models
+Normal rank
@@ Property / cites work @@
+On distortion functionals
@@ Property / cites work: On distortion functionals / rank @@
+Normal rank
@@ Property / cites work @@
+The natural Banach space for version independent risk measures
+Normal rank
@@ Property / cites work @@
+Premiums and reserves, adjusted by distortions
@@ Property / cites work: Premiums and reserves, adjusted by distortions / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-averse dynamic programming for Markov decision processes
+Normal rank
@@ Property / cites work @@
+Q3632460
@@ Property / cites work: Q3632460 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5201296
@@ Property / cites work: Q5201296 / rank @@
+Normal rank
@@ Property / cites work @@
+On a time consistency concept in risk averse multistage stochastic programming
+Normal rank
@@ Property / cites work @@
+Time consistency of dynamic risk measures
@@ Property / cites work: Time consistency of dynamic risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+On Kusuoka Representation of Law Invariant Risk Measures
+Normal rank
@@ Property / cites work @@
+Lectures on Stochastic Programming
@@ Property / cites work: Lectures on Stochastic Programming / rank @@
+Normal rank