A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle (Q2397431)
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scientific article
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| English | A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle |
scientific article |
Statements
A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle (English)
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22 May 2017
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dynamic risk measures
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transaction costs
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set-valued risk measures
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vector optimization
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dynamic programming
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Bellman's principle
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0.8162464499473572
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0.8030559420585632
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0.7957087159156799
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0.7945214509963989
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0.7906193733215332
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