Stochastic programming of time-consistent extensions of aVaR

DOI10.1137/130905046MaRDI QIDQ2934467zbMATH OpenOpenAlexFDO

Authors M. Densing

Publication date 12 December 2014

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/35579d25b7785eed8d1aad34f01eb7d80a0321f9

zbMATH Keywords

mean risk optimizationmultistage stochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Applications of mathematical programming (90C90)

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(4)

• A quantitative comparison of risk measures
• Time-consistency of risk measures with GARCH volatilities and their estimation
• Time-inconsistent multistage stochastic programs: martingale bounds
• Multiperiod stochastic optimization problems with time-consistent risk constraints

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