Building up time-consistency for risk measures and dynamic optimization

DOI10.1016/J.EJOR.2015.03.046MaRDI QIDQ320898zbMATH OpenOpenAlexFDO

Authors Michel De Lara, Vincent Leclère

Publication date 7 October 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://hal-enpc.archives-ouvertes.fr/hal-01208297/file/DeLara_Leclere_EJOR2015.pdf

zbMATH Keywords

dynamic programmingtime-consistencydynamic risk measures

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15) Optimal stochastic control (93E20)

Recommendations

• Dynamic consistency for stochastic optimal control problems
• Time consistency of dynamic risk measures
• Time consistent dynamic risk measures
• Time consistency and time consistent generalized convex multistage risk measures
• On a time consistency concept in risk averse multistage stochastic programming

Cites work

• scientific article; zbMATH DE number 3889341 (Why is no real title available?)
• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• scientific article; zbMATH DE number 47134 (Why is no real title available?)
• Changing Tastes and Coherent Dynamic Choice
• Coherent measures of risk
• Coherent multiperiod risk adjusted values and Bellman's principle
• Composition of time-consistent dynamic monetary risk measures in discrete time
• Conditional and dynamic convex risk measures
• Convex measures of risk and trading constraints
• Dynamic coherent risk measures
• Dynamic consistency for stochastic optimal control problems
• Dynamic monetary risk measures for bounded discrete-time processes
• Minimax and risk averse multistage stochastic programming
• On the Existence of a Consistent Course of Action when Tastes are Changing
• Richard Bellman on the Birth of Dynamic Programming
• Risk-averse dynamic programming for Markov decision processes
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences

Cited in

(11)

• Equivalence between time consistency and nested formula
• Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
• Quantification of risk in classical models of finance
• scientific article; zbMATH DE number 5710619 (Why is no real title available?)
• Dynamic risk measures for finite-state partially observable Markov decision problems
• Risk management for forestry planning under uncertainty in demand and prices
• Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
• Time (in)consistency of multistage distributionally robust inventory models with moment constraints
• A quantitative comparison of risk measures
• Time consistent dynamic risk processes
• Dynamic consistency for stochastic optimal control problems

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