Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping

DOI10.1287/OPRE.2021.2120zbMath1500.90037OpenAlexW3172733872MaRDI QIDQ5106377

Alois Pichler, Alexander Shapiro, Rui Peng Liu

Publication date: 19 September 2022

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

Full work available at URL: https://doi.org/10.1287/opre.2021.2120

zbMATH Keywords

stochastic programmingcoherent risk measuresdynamic equationsinventory modeloptimal stopping timetime consistencyAmerican put optionSnell envelope

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

Related Items (3)

Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures ⋮ Unnamed Item ⋮ An active-set strategy to solve Markov decision processes with good-deal risk measure

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal stopping under model uncertainty: randomized stopping times approach
• Risk-averse dynamic programming for Markov decision processes
• On a time consistency concept in risk averse multistage stochastic programming
• Dynamic monetary risk measures for bounded discrete-time processes
• Recursive multiple-priors.
• An analytical study of norms and Banach spaces induced by the entropic value-at-risk
• Interchangeability principle and dynamic equations in risk averse stochastic programming
• Minimax and risk averse multistage stochastic programming
• Optimal stopping for dynamic convex risk measures
• Recursiveness of indifference prices and translation-invariant preferences
• Representation results for law invariant time consistent functions
• Distributionally robust optimization with polynomial densities: theory, models and algorithms
• Coherent multiperiod risk adjusted values and Bellman's principle
• Dynamic coherent risk measures
• On constrained Markov decision processes
• Coherent Measures of Risk
• Distributionally Robust Convex Optimization
• Representations for Optimal Stopping under Dynamic Monetary Utility Functionals
• COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Consistent Intertemporal Decision-Making under Uncertainty
• Distributionally Robust Stochastic Programming
• Ambiguous Joint Chance Constraints Under Mean and Dispersion Information
• Optimal Stopping of a Random Sequence with Unknown Distribution
• Robust Markov Decision Processes
• Risk-Averse Control of Undiscounted Transient Markov Models
• Robust Control of Markov Decision Processes with Uncertain Transition Matrices
• Optimal Stopping Under Probability Distortions
• Optimization of Convex Risk Functions
• Conditional Risk Mappings
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Robust Dynamic Programming
• Rectangular Sets of Probability Measures
• Statistical Decision Functions
• Stochastic finance. An introduction in discrete time

This page was built for publication: Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping