Time consistency of dynamic risk measures
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Publication:1939680
DOI10.1016/J.ORL.2012.08.007zbMATH Open1258.91111OpenAlexW2092277809MaRDI QIDQ1939680FDOQ1939680
Authors: Alexander Shapiro 
Publication date: 5 March 2013
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2012.08.007
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dynamic programmingmultistage stochastic programmingtime consistencycoherent risk measuresrisk averse optimization
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- Risk-averse dynamic programming for Markov decision processes
- On a time consistency concept in risk averse multistage stochastic programming
- Dynamic consistency for stochastic optimal control problems
- Conditional Risk Mappings
Cited In (42)
- Time consistent dynamic risk measures
- Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
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- Interchangeability principle and dynamic equations in risk averse stochastic programming
- Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
- Information Security and Privacy
- Dynamic risk measures for finite-state partially observable Markov decision problems
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Title not available (Why is that?)
- Process-based risk measures and risk-averse control of discrete-time systems
- Decomposability and time consistency of risk averse multistage programs
- Equal risk pricing and hedging of financial derivatives with convex risk measures
- Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
- On efficient matheuristic algorithms for multi-period stochastic facility location-assignment problems
- Structure of risk-averse multistage stochastic programs
- A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
- A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
- Building up time-consistency for risk measures and dynamic optimization
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- Time-inconsistent multistage stochastic programs: martingale bounds
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Rectangular sets of probability measures
- Representation results for law invariant time consistent functions
- Stochastic programming of time-consistent extensions of aVaR
- Time consistency of multi-period distortion measures
- Time consistency of the mean-risk problem
- Time consistent dynamic risk processes
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Stochastic dominance constraints in elastic shape optimization
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Risk control of mean-reversion time in statistical arbitrage
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Multilevel optimization modeling for risk-averse stochastic programming
- Time-consistent decisions and temporal decomposition of coherent risk functionals
- Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation
- Minimizing CVaR in global dynamic hedging with transaction costs
- Minimax and risk averse multistage stochastic programming
- Insurance valuation: a computable multi-period cost-of-capital approach
- Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
- Controlled Markov decision processes with AVaR criteria for unbounded costs
- Time consistency and time consistent generalized convex multistage risk measures
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