Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences

DOI10.1016/j.ejor.2013.11.037zbMath1304.90113OpenAlexW2089786171MaRDI QIDQ2514776

Alexandre Street, Birgit Rudloff, Davi Michel Valladão

Publication date: 3 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.11.037

zbMATH Keywords

risk aversionportfolio selectiontime consistencyconditional value-at-risk (CVaR)dynamic stochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Management decision making, including multiple objectives (90B50) Dynamic programming (90C39) Financial applications of other theories (91G80) Portfolio theory (91G10)

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