Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
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Cited in
(6)- An active-set strategy to solve Markov decision processes with good-deal risk measure
- Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
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- Risk averse stochastic programming: time consistency and optimal stopping
- Guaranteed bounds for optimal stopping problems using kernel-based non-asymptotic uniform confidence bands
- On a time consistency concept in risk averse multistage stochastic programming
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