A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
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Publication:2397431
DOI10.1007/s10898-016-0459-8zbMath1414.91183arXiv1508.02367OpenAlexW2252390983MaRDI QIDQ2397431
Birgit Rudloff, Zachary Feinstein
Publication date: 22 May 2017
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.02367
vector optimizationdynamic programmingtransaction costsBellman's principledynamic risk measuresset-valued risk measures
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