Coherent multiperiod risk adjusted values and Bellman's principle
From MaRDI portal
Publication:2480233
Bellman's principlecapital requirementcoherencerisk-adjusted valuesstability by pastingtime consistency
Recommendations
Cites work
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Coherent measures of risk
- Coherent risk measures and good-deal bounds
- Conditional preferences and updating.
- Convex measures of risk and trading constraints
- Dynamic coherent risk measures
- scientific article; zbMATH DE number 50702 (Why is no real title available?)
- scientific article; zbMATH DE number 3369559 (Why is no real title available?)
- scientific article; zbMATH DE number 3373117 (Why is no real title available?)
- Maxmin expected utility with non-unique prior
- Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
- On dynamic measure of risk
- Recursive multiple-priors.
- Risk Measures and Efficient use of Capital
- Stochastic finance. An introduction in discrete time
- The structure of m-stable sets and in particular of the set of risk neutral measures
Cited in
(only showing first 100 items - show all)- Time consistent dynamic risk processes
- An overview of representation theorems for static risk measures
- Risk measurement and risk-averse control of partially observable discrete-time Markov systems
- Cash subadditive risk measures for portfolio vectors
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Time consistent multi-period worst-case risk measure in robust portfolio selection
- Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion
- On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach
- A survey on risk-averse and robust revenue management
- On dynamic deviation measures and continuous-time portfolio optimization
- Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
- Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
- Monotone trends in inventory-price control under time-consistent coherent risk measure
- Time-consistent, risk-averse dynamic pricing
- Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
- Risk management for forestry planning under uncertainty in demand and prices
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- An optimal stopping problem with a reward constraint
- On some claims related to Choquet integral risk measures
- Generalized stochastic differential utility and preference for information
- On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
- A trade execution model under a composite dynamic coherent risk measure
- Scenario decomposition of risk-averse multistage stochastic programming problems
- Dynamic consistency for stochastic optimal control problems
- Recursiveness of indifference prices and translation-invariant preferences
- Representation results for law invariant time consistent functions
- Markov decision processes with average-value-at-risk criteria
- On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
- Time (in)consistency of multistage distributionally robust inventory models with moment constraints
- Continuous-time limits of multi-period cost-of-capital margins
- The least squares estimator of random variables under convex operators on \(L_{\mathcal{F}}^\infty (\mu)\) space
- Time consistency for scalar multivariate risk measures
- Gittins' theorem under uncertainty
- Peril, prudence and planning as risk, avoidance and worry
- Process-based risk measures and risk-averse control of discrete-time systems
- Laws of large numbers under model uncertainty with an application to \(m\)-dependent random variables
- On the use of the terminal-value approach in risk-value models
- Set-valued dynamic risk measures for processes and for vectors
- Risk analysis via Łukasiewicz logic
- Downside risk measurement in regime switching stochastic volatility
- Time consistent pricing of options with embedded decisions
- Risk forms: representation, disintegration, and application to partially observable two-stage systems
- On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
- A survey of decision making and optimization under uncertainty
- Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
- Dynamic systemic risk measures for bounded discrete time processes
- The strictest common relaxation of a family of risk measures
- The value of a liability cash flow in discrete time subject to capital requirements
- Coherent quality management for big data systems: a dynamic approach for stochastic time consistency
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Conditional submodular Choquet expected values and conditional coherent risk measures
- An active-set strategy to solve Markov decision processes with good-deal risk measure
- Time-consistency of risk measures: how strong is such a property?
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- Dispatch planning using newsvendor dual problems and occupation times: application to hydropower
- Decision tree analysis for a risk averse decision maker: CVaR criterion
- A quantitative comparison of risk measures
- Better than pre-committed optimal mean-variance policy in a jump diffusion market
- The least squares estimator of random variables under sublinear expectations
- Hedging under generalized good-deal bounds and model uncertainty
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- Dynamic risk measures for processes via backward stochastic differential equations
- An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
- Optimal investment policy in the time consistent mean-variance formulation
- Mutual absolute continuity of multiple priors
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Risk measures via g-expectations
- Time consistent policy of multi-period mean-variance
- Structure of risk-averse multistage stochastic programs
- Dynamic exponential utility indifference valuation
- Measuring risk for income streams
- Convex risk measures for portfolio optimization and concepts of flexibility
- Conditional coherent risk measures and regime-switching conic pricing
- Markov risk mappings and risk-sensitive optimal prediction
- Coherent measures of risk
- Time-consistent decisions and temporal decomposition of coherent risk functionals
- Computational methods for risk-averse undiscounted transient Markov models
- Dynamic coherent acceptability indices and their applications to finance
- Polyhedral risk measures in electricity portfolio optimization
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
- Risk aversion in two-stage stochastic integer programming
- Randomized stopping times and coherent multiperiod risk measures
- A general comparison theorem for backward stochastic differential equations
- Risk Measures and Efficient use of Capital
- Asymptotically stable dynamic risk assessments
- Monetary valuation of cash flows under Knightian uncertainty
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Risk-reward optimization with discrete-time coherent risk
- Analyzing operational risk-reward trade-offs for start-ups
- Time-inconsistent multistage stochastic programs: martingale bounds
- Building up time-consistency for risk measures and dynamic optimization
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- scientific article; zbMATH DE number 7224244 (Why is no real title available?)
- Set-valued dynamic risk measures for bounded discrete-time processes
- MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Risk Measures and Robust Optimization Problems
This page was built for publication: Coherent multiperiod risk adjusted values and Bellman's principle
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2480233)