Time consistent dynamic risk measures

DOI10.1007/s00186-005-0045-1zbMath1136.91471OpenAlexW1997933673MaRDI QIDQ2500793

Kang Boda, Jerzy A. Filar

Publication date: 18 August 2006

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-005-0045-1

zbMATH Keywords

Markov decision processTime consistencyValue-at-riskConditional value-at-riskMulti-stageTarget-percentile

Mathematics Subject Classification ID

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