Time-inconsistent multistage stochastic programs: martingale bounds (Q320891)

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Time-inconsistent multistage stochastic programs: martingale bounds
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    Time-inconsistent multistage stochastic programs: martingale bounds (English)
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    7 October 2016
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    stochastic optimization
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    risk measure
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    average value-at-risk
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    dynamic programming
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    time consistency
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