Dynamic CVAR with multi-period risk problems (Q2392648)
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English | Dynamic CVAR with multi-period risk problems |
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Dynamic CVAR with multi-period risk problems (English)
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2 August 2013
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\(\alpha\)-conditional value at risk (CVAR)
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optimality equation
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optimal policy
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multi-period risk problems
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multi-period portfolio optimization
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Markov decision processes
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