Time-consistent decisions and temporal decomposition of coherent risk functionals
From MaRDI portal
Publication:2806826
DOI10.1287/MOOR.2015.0747zbMATH Open1338.90286DBLPjournals/mor/PflugP16OpenAlexW2266738696WikidataQ59254861 ScholiaQ59254861MaRDI QIDQ2806826FDOQ2806826
Authors: Alois Pichler, Georg Ch. Pflug 
Publication date: 19 May 2016
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.2015.0747
Recommendations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability measures on topological spaces (60B05) Stochastic programming (90C15)
Cites Work
- Coherent measures of risk
- Dual Stochastic Dominance and Related Mean-Risk Models
- Lectures on Stochastic Programming
- Recursiveness of indifference prices and translation-invariant preferences
- Title not available (Why is that?)
- Representation results for law invariant time consistent functions
- Law invariant risk measures have the Fatou property
- Risk-averse two-stage stochastic linear programming: modeling and decomposition
- Coherent multiperiod risk adjusted values and Bellman's principle
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Risk-averse dynamic programming for Markov decision processes
- Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization
- On a time consistency concept in risk averse multistage stochastic programming
- Dynamic consistency for stochastic optimal control problems
- Time consistency of dynamic risk measures
- The natural Banach space for version independent risk measures
- On distortion functionals
- Premiums and reserves, adjusted by distortions
- On Kusuoka representation of law invariant risk measures
- Optimization of risk measures
- Time consistency and information monotonicity of multiperiod acceptability functionals
- Tight approximations of dynamic risk measures
- Title not available (Why is that?)
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
Cited In (23)
- From the decompositions of a stopping time to risk premium decompositions
- A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning
- Quantile Markov Decision Processes
- Bi-objective multistage stochastic linear programming
- Risk management for forestry planning under uncertainty in demand and prices
- Risk measures under model uncertainty: a Bayesian viewpoint
- Peril, prudence and planning as risk, avoidance and worry
- Time consistency and information monotonicity of multiperiod acceptability functionals
- On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
- From empirical observations to tree models for stochastic optimization: convergence properties
- On efficient matheuristic algorithms for multi-period stochastic facility location-assignment problems
- On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
- 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
- A quantitative comparison of risk measures
- Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
- Sequential Decision Making With Coherent Risk
- Mathematical foundations of distributionally robust multistage optimization
- Stochastic control of optimized certainty equivalents
- On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
- Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
- Minimizing spectral risk measures applied to Markov decision processes
- Random distortion risk measures
This page was built for publication: Time-consistent decisions and temporal decomposition of coherent risk functionals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2806826)
