Time-consistent decisions and temporal decomposition of coherent risk functionals
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Cites work
- scientific article; zbMATH DE number 4177446 (Why is no real title available?)
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
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Cited in
(23)- Risk measures under model uncertainty: a Bayesian viewpoint
- Sequential Decision Making With Coherent Risk
- Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
- Mathematical foundations of distributionally robust multistage optimization
- Peril, prudence and planning as risk, avoidance and worry
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- Risk management for forestry planning under uncertainty in demand and prices
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- A quantitative comparison of risk measures
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- Minimizing spectral risk measures applied to Markov decision processes
- Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
- On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management
- Stochastic control of optimized certainty equivalents
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