Tight Approximations of Dynamic Risk Measures
From MaRDI portal
Publication:3449453
DOI10.1287/MOOR.2014.0689zbMath1410.91269arXiv1106.6102OpenAlexW2106549991MaRDI QIDQ3449453
Dan Andrei Iancu, Dharmashankar Subramanian, Marek Petrik
Publication date: 4 November 2015
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1106.6102
Decision theory (91B06) Matroids in convex geometry (realizations in the context of convex polytopes, convexity in combinatorial structures, etc.) (52B40) Combinatorial optimization (90C27)
Related Items (14)
A quantitative comparison of risk measures ⋮ Quantile Markov Decision Processes ⋮ Technical Note—Time Inconsistency of Optimal Policies of Distributionally Robust Inventory Models ⋮ Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR ⋮ Dynamic linear programming games with risk-averse players ⋮ Rectangular Sets of Probability Measures ⋮ Time (in)consistency of multistage distributionally robust inventory models with moment constraints ⋮ Markov decision processes with risk-sensitive criteria: an overview ⋮ Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Time-consistent approximations of risk-averse multistage stochastic optimization problems ⋮ Socially responsible merchant operations: comparison of shutdown-averse CVaR and anticipated regret policies ⋮ Distributionally Robust Inventory Control When Demand Is a Martingale ⋮ Peril, prudence and planning as risk, avoidance and worry
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Risk-averse dynamic programming for Markov decision processes
- Dynamic capital allocation with distortion risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Coherent risk measures in inventory problems
- Estimating conditional tail expectation with actuarial applications in view
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- Maxmin expected utility with non-unique prior
- On the monotonization of polyhedra
- Recursive multiple-priors.
- Convex measures of risk and trading constraints
- On unions and dominants of polytopes
- Minimax and risk averse multistage stochastic programming
- A synthesis of risk measures for capital adequacy
- Coherent multiperiod risk adjusted values and Bellman's principle
- Dynamic coherent risk measures
- Conditional and dynamic convex risk measures
- Time consistent dynamic risk measures
- Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
- Coherent Measures of Risk
- Integrated Optimization of Procurement, Processing, and Trade of Commodities
- Constructing Uncertainty Sets for Robust Linear Optimization
- Optimal Dynamic Trading Strategies with Risk Limits
- Convex risk measures and the dynamics of their penalty functions
- On the complexity of four polyhedral set containment problems
- Subjective Probability and Expected Utility without Additivity
- Integral Representation Without Additivity
- On Solving Multistage Stochastic Programs with Coherent Risk Measures
- Dynamic Risk Measures
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Robust Control of Markov Decision Processes with Uncertain Transition Matrices
- Conditional Risk Mappings
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Robust Dynamic Programming
- The Iterated Cte
This page was built for publication: Tight Approximations of Dynamic Risk Measures
