Conditional Risk Mappings

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Cited in

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Risk measurement and risk-averse control of partially observable discrete-time Markov systems
Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
The stochastic mitra-wan forestry model: risk neutral and risk averse cases
The optimal harvesting problem under price uncertainty: the risk averse case
On dynamic deviation measures and continuous-time portfolio optimization
Perfect hedging under endogenous permanent market impacts
Probabilistically distorted risk-sensitive infinite-horizon dynamic programming
Monotone trends in inventory-price control under time-consistent coherent risk measure
Time-consistent, risk-averse dynamic pricing
Risk-averse stochastic path detection
Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
A trade execution model under a composite dynamic coherent risk measure
Minimax and risk averse multistage stochastic programming
Scenario decomposition of risk-averse multistage stochastic programming problems
Bounds for nested law invariant coherent risk measures
Time consistency of dynamic risk measures
Risk-averse feasible policies for large-scale multistage stochastic linear programs
Set-valued risk measures as backward stochastic difference inclusions and equations
Gas storage valuation in incomplete markets
Resource allocation for contingency planning: an inexact proximal bundle method for stochastic optimization
Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
Stochastic dynamic cutting plane for multistage stochastic convex programs
Time consistency for scalar multivariate risk measures
Process-based risk measures and risk-averse control of discrete-time systems
Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
Risk forms: representation, disintegration, and application to partially observable two-stage systems
Martingale characterizations of risk-averse stochastic optimization problems
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
On conditional cuts for stochastic dual dynamic programming
Relevant mappings
Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity
Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility
A dynamic programming approach to adjustable robust optimization
A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania
Epiconvergence of relaxed stochastic optimization problems
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
Equilibrium routing under uncertainty
A quantitative comparison of risk measures
SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
Conditional and dynamic convex risk measures
Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
Structure of risk-averse multistage stochastic programs
Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation
Markov risk mappings and risk-sensitive optimal prediction
On conditional Chisini means and risk measures
A comparison of techniques for dynamic multivariate risk measures
Multilevel optimization modeling for risk-averse stochastic programming
Robust control of partially observable failing systems
Additive consistency of risk measures and its application to risk-averse routing in networks
Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
Computational methods for risk-averse undiscounted transient Markov models
Composition of time-consistent dynamic monetary risk measures in discrete time
Time-inconsistent multistage stochastic programs: martingale bounds
Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
Conditional risk and acceptability mappings as Banach-lattice valued mappings
Tight approximations of dynamic risk measures
GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS
Recursive risk measures under regime switching applied to portfolio selection
Time-coherent risk measures for continuous-time Markov chains
A supermartingale relation for multivariate risk measures
Multi-portfolio time consistency for set-valued convex and coherent risk measures
Two-stage portfolio optimization with higher-order conditional measures of risk
Trade-off between robust risk measurement and market principles
Evaluating policies in risk-averse multi-stage stochastic programming
Risk-averse learning by temporal difference methods with Markov risk measures
Discrete-time mean field games with risk-averse agents
Mathematical foundations of distributionally robust multistage optimization
Quantification of risk in classical models of finance
Equal risk pricing and hedging of financial derivatives with convex risk measures
Discrete-time risk-aware optimal switching with non-adapted costs
Scalar multivariate risk measures with a single eligible asset
Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
Risk-Sensitive Reinforcement Learning via Policy Gradient Search
Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
Technical note -- time inconsistency of optimal policies of distributionally robust inventory models
A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
Dynamic asset allocation with uncertain jump risks: a pathwise optimization approach
Risk-averse approximate dynamic programming with quantile-based risk measures
Optimal stopping under uncertainty in drift and jump intensity
Robust portfolio choice and indifference valuation
Dynamic linear programming games with risk-averse players
Time consistency of dynamic risk measures in markets with transaction costs
TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
Are time consistent valuations information monotone?
Rectangular sets of probability measures
A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Risk-averse dynamic programming for Markov decision processes
Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
Index policy for multiarmed bandit problem with dynamic risk measures
The policy graph decomposition of multistage stochastic programming problems
Analysis of stochastic dual dynamic programming method
Dynamic hedging for the real option management of hydropower production with exchange rate risks
Bounds for Multistage Mixed-Integer Distributionally Robust Optimization
Random distortion risk measures
Robust Q-learning algorithm for Markov decision processes under Wasserstein uncertainty
Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
Value of risk aversion in perishable products supply chain management
Multi-stage distributionally robust convex stochastic optimization with Bayesian-type ambiguity sets

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