Time-inconsistent multistage stochastic programs: martingale bounds
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Cites work
- scientific article; zbMATH DE number 3126094 (Why is no real title available?)
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- Coherent measures of risk
- Coherent multiperiod risk adjusted values and Bellman's principle
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Conditional Risk Mappings
- Conditional and dynamic convex risk measures
- Controlled Markov processes and viscosity solutions
- Dynamic consistency for stochastic optimal control problems
- Elementary proof for Sion's minimax theorem
- Lectures on Stochastic Programming
- Measuring risk for income streams
- Modeling, measuring and managing risk
- On a time consistency concept in risk averse multistage stochastic programming
- On general minimax theorems
- Recursiveness of indifference prices and translation-invariant preferences
- Risk-averse dynamic programming for Markov decision processes
- Sampling-based decomposition methods for multistage stochastic programs based on extended polyhedral risk measures
- Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
- The Optimal Recourse Problem in Discrete Time: $L^1 $-Multipliers for Inequality Constraints
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Cited in
(30)- A survey on risk-averse and robust revenue management
- Hedge fund's dynamic leverage decisions under time-inconsistent preferences
- Time Consistency for Multistage Stochastic Optimization Problems under Constraints in Expectation
- Risk aversion in imperfect natural gas markets
- Optimal Control of Conditional Value-at-Risk in Continuous Time
- Mathematical foundations of distributionally robust multistage optimization
- Inequity-averse stochastic decision processes
- Recursive risk measures under regime switching applied to portfolio selection
- Decomposability and time consistency of risk averse multistage programs
- Risk-averse dynamic pricing using mean-semivariance optimization
- Risk-sensitive control of Markov decision processes: a moment-based approach with target distributions
- On a time consistency concept in risk averse multistage stochastic programming
- Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
- Additive consistency of risk measures and its application to risk-averse routing in networks
- Optimizing conditional value-at-risk in dynamic pricing
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
- Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation
- Stochastic programming of time-consistent extensions of aVaR
- Markov decision processes with risk-sensitive criteria: an overview
- From empirical observations to tree models for stochastic optimization: convergence properties
- Time-consistent portfolio optimization
- On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
- A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
- Controlled Markov decision processes with AVaR criteria for unbounded costs
- A review of revenue management: recent generalizations and advances in industry applications
- The policy graph decomposition of multistage stochastic programming problems
- Time-consistent, risk-averse dynamic pricing
- Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
- Stochastic control of optimized certainty equivalents
- Who are I: time inconsistency and intrapersonal conflict and reconciliation
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