Time consistency of dynamic risk measures

DOI10.1016/J.ORL.2012.08.007zbMath1258.91111OpenAlexW2092277809MaRDI QIDQ1939680

Alexander Shapiro

Publication date: 5 March 2013

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.08.007

zbMATH Keywords

dynamic programmingmultistage stochastic programmingcoherent risk measurestime consistencyrisk averse optimization

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites Work

• Unnamed Item
• Risk-averse dynamic programming for Markov decision processes
• On a time consistency concept in risk averse multistage stochastic programming
• Dynamic consistency for stochastic optimal control problems
• Representation results for law invariant time consistent functions
• Coherent Measures of Risk
• Lectures on Stochastic Programming
• Conditional Risk Mappings
• Stochastic finance. An introduction in discrete time

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