Measuring risk for income streams

DOI10.1007/s10589-005-2058-3zbMath1085.90041WikidataQ59255091 ScholiaQ59255091MaRDI QIDQ2574064

Ruszczyński, Andrzej, Georg Ch. Pflug

Publication date: 16 November 2005

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-005-2058-3

zbMATH Keywords

multistage stochastic programming; dynamic risk measure; conditional value at risk; value of perfect information; multiperiod mean-risk models

Mathematics Subject Classification ID

90C15: Stochastic programming

Related Items

Multivariate value at risk and related topics, SUPERHEDGING IN ILLIQUID MARKETS, Conditional risk and acceptability mappings as Banach-lattice valued mappings, Stability of multistage stochastic programs incorporating polyhedral risk measures

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