Tight Approximations of Dynamic Risk Measures (Q3449453)

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Tight Approximations of Dynamic Risk Measures
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    Statements

    title
    Tight Approximations of Dynamic Risk Measures (English)
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    author
    Dan Andrei Iancu
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    Marek Petrik
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    publication date
    4 November 2015
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    zbMATH Keywords
    coherent risk measures
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    dynamic consistency
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    tight approximations
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    submodular functions
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    polymatroids
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    52B40
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    90C27
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    91B06
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    zbMATH DE Number
    6504535
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