Dynamic CVAR with multi-period risk problems

DOI10.1007/S11424-011-9010-7MaRDI QIDQ2392648zbMATH OpenOpenAlexFDO

Authors Zhiqing Meng, Min Jiang, Qiying Hu

Publication date 2 August 2013

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-011-9010-7

zbMATH Keywords

Markov decision processesoptimal policyoptimality equationmulti-period portfolio optimization\(\alpha\)-conditional value at risk (CVAR)multi-period risk problems

Mathematics Subject Classification ID

Credit risk (91G40) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 2190295 (Why is no real title available?)
• scientific article; zbMATH DE number 3320878 (Why is no real title available?)
• Computational Science - ICCS 2004
• Credit risk optimization with conditional Value-at-Risk criterion
• Handling CVaR objectives and constraints in two-stage stochastic models
• Markov decision processes with their applications
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Time consistent dynamic risk measures

Cited in

(6)

• Decision tree analysis for a risk averse decision maker: CVaR criterion
• Risk-averse approximate dynamic programming with quantile-based risk measures
• Impact of the RMB joining in the SDR basket on its internationalization from the perspective of risk spillover
• A new risk measure MMVaR: properties and empirical research
• A multi-periods multiobjective conditional value-at-risk model
• Multiperiod stochastic optimization problems with time-consistent risk constraints

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