Building up time-consistency for risk measures and dynamic optimization

DOI10.1016/J.EJOR.2015.03.046zbMATH Open1346.90795OpenAlexW2067839247MaRDI QIDQ320898FDOQ320898

Michel De Lara, Vincent Leclère

Publication date: 7 October 2016

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

Full work available at URL: https://hal-enpc.archives-ouvertes.fr/hal-01208297/file/DeLara_Leclere_EJOR2015.pdf

Recommendations

• Dynamic consistency for stochastic optimal control problems
• Time consistency of dynamic risk measures
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• On a time consistency concept in risk averse multistage stochastic programming

zbMATH Keywords

dynamic programmingtime-consistencydynamic risk measures

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15) Optimal stochastic control (93E20)

Cites Work

• Coherent measures of risk
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Existence of a Consistent Course of Action when Tastes are Changing
• Convex measures of risk and trading constraints
• Conditional and dynamic convex risk measures
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Dynamic monetary risk measures for bounded discrete-time processes
• Coherent multiperiod risk adjusted values and Bellman's principle
• Dynamic coherent risk measures
• COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
• Title not available (Why is that?)
• Risk-averse dynamic programming for Markov decision processes
• Minimax and risk averse multistage stochastic programming
• Dynamic consistency for stochastic optimal control problems
• Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
• Richard Bellman on the Birth of Dynamic Programming
• Changing Tastes and Coherent Dynamic Choice

Cited In (8)

• Equivalence between time consistency and nested formula
• Quantification of risk in classical models of finance
• Title not available (Why is that?)
• Risk management for forestry planning under uncertainty in demand and prices
• Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
• Time (in)consistency of multistage distributionally robust inventory models with moment constraints
• A quantitative comparison of risk measures
• Time consistent dynamic risk processes

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