Time consistency conditions for acceptability measures, with an application to tail value at risk
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- Anxiety and decision making with delayed resolution of uncertainty
- Axiomatic characterization of insurance prices
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Cited in
(32)- A representation of risk measures
- Membership conditions for consistent families of monetary valuations
- Update rules for convex risk measures
- Time-coherent risk measures for continuous-time Markov chains
- Peril, prudence and planning as risk, avoidance and worry
- Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
- Risk measuring under model uncertainty
- Time consistency for scalar multivariate risk measures
- An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
- Time (in)consistency of multistage distributionally robust inventory models with moment constraints
- Time consistent dynamic risk processes
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- On a time consistency concept in risk averse multistage stochastic programming
- Optimal investment policy in the time consistent mean-variance formulation
- Structure of risk-averse multistage stochastic programs
- Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
- Time consistency and information monotonicity of multiperiod acceptability functionals
- Tight approximations of dynamic risk measures
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
- Scalar multivariate risk measures with a single eligible asset
- Tail VaR measures in a multi-period setting
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Weakly time consistent concave valuations and their dual representations
- Are time consistent valuations information monotone?
- Conditional expectiles, time consistency and mixture convexity properties
- Time consistent policy of multi-period mean-variance
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Conditional systemic risk measures
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