A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle (Q2397431): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
| Property / describes a project that uses | |||
| Property / describes a project that uses: BENSOLVE / rank | |||
Normal rank | |||
Revision as of 10:05, 29 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle |
scientific article |
Statements
A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle (English)
0 references
22 May 2017
0 references
dynamic risk measures
0 references
transaction costs
0 references
set-valued risk measures
0 references
vector optimization
0 references
dynamic programming
0 references
Bellman's principle
0 references
