Equivalence between time consistency and nested formula
From MaRDI portal
Publication:827137
DOI10.1007/s10479-019-03276-1zbMath1455.91276arXiv1711.08633OpenAlexW2963264275WikidataQ127811491 ScholiaQ127811491MaRDI QIDQ827137
Michel De Lara, Jean-Philippe Chancelier, Henri Gérard
Publication date: 6 January 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.08633
Cites Work
- Stochastic finance. An introduction in discrete time.
- Building up time-consistency for risk measures and dynamic optimization
- Risk-averse dynamic programming for Markov decision processes
- Dynamic monetary risk measures for bounded discrete-time processes
- Temporal von Neumann-Morgenstern and induced preferences
- Recursive multiple-priors.
- Coherent multiperiod risk adjusted values and Bellman's principle
- Dynamic coherent risk measures
- Conditional and dynamic convex risk measures
- Inf-convolution, sous-additivite, convexite des fonctions numériques
- Coherent Measures of Risk
- Multistage Stochastic Optimization
- Richard Bellman on the Birth of Dynamic Programming
- Changing Tastes and Coherent Dynamic Choice
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Conditional Risk Mappings
- On the Existence of a Consistent Course of Action when Tastes are Changing
- Rectangular Sets of Probability Measures