A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle

DOI10.1007/s10898-016-0459-8zbMath1414.91183arXiv1508.02367OpenAlexW2252390983MaRDI QIDQ2397431

Birgit Rudloff, Zachary Feinstein

Publication date: 22 May 2017

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.02367

zbMATH Keywords

vector optimizationdynamic programmingtransaction costsBellman's principledynamic risk measuresset-valued risk measures

Mathematics Subject Classification ID

Set-valued functions (26E25) Dynamic programming (90C39)

Related Items

Time Consistency of the Mean-Risk Problem, A new coherent multivariate average-value-at-risk, Geometric Duality Results and Approximation Algorithms for Convex Vector Optimization Problems, Stein's lemma for truncated elliptical random vectors, Time consistency for set-valued dynamic risk measures for bounded discrete-time processes, A norm minimization-based convex vector optimization algorithm, Scalar Multivariate Risk Measures with a Single Eligible Asset, Algorithms to Solve Unbounded Convex Vector Optimization Problems, A supermartingale relation for multivariate risk measures, SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES, Set-valued risk measures as backward stochastic difference inclusions and equations, Multivariate tail conditional expectation for elliptical distributions, On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation, Time consistency for scalar multivariate risk measures, Conditional Systemic Risk Measures

Uses Software

• BENSOLVE

Cites Work

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