Time consistency of dynamic risk measures
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Cites work
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- Coherent measures of risk
- Conditional Risk Mappings
- Dynamic consistency for stochastic optimal control problems
- Lectures on Stochastic Programming
- On a time consistency concept in risk averse multistage stochastic programming
- Representation results for law invariant time consistent functions
- Risk-averse dynamic programming for Markov decision processes
- Stochastic finance. An introduction in discrete time
Cited in
(42)- Rectangular sets of probability measures
- A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Time consistency and time consistent generalized convex multistage risk measures
- Multilevel optimization modeling for risk-averse stochastic programming
- Process-based risk measures and risk-averse control of discrete-time systems
- Representation results for law invariant time consistent functions
- Time consistency of the mean-risk problem
- Minimizing CVaR in global dynamic hedging with transaction costs
- Decomposability and time consistency of risk averse multistage programs
- Time consistent dynamic risk measures
- Time-consistent decisions and temporal decomposition of coherent risk functionals
- Time consistent dynamic risk processes
- Interchangeability principle and dynamic equations in risk averse stochastic programming
- scientific article; zbMATH DE number 5710619 (Why is no real title available?)
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Minimax and risk averse multistage stochastic programming
- Structure of risk-averse multistage stochastic programs
- Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
- Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
- Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation
- Stochastic programming of time-consistent extensions of aVaR
- Information Security and Privacy
- Stochastic dominance constraints in elastic shape optimization
- On efficient matheuristic algorithms for multi-period stochastic facility location-assignment problems
- A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
- Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
- Controlled Markov decision processes with AVaR criteria for unbounded costs
- Building up time-consistency for risk measures and dynamic optimization
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- Time-inconsistent multistage stochastic programs: martingale bounds
- scientific article; zbMATH DE number 7733443 (Why is no real title available?)
- Dynamic risk measures for finite-state partially observable Markov decision problems
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Insurance valuation: a computable multi-period cost-of-capital approach
- Equal risk pricing and hedging of financial derivatives with convex risk measures
- Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Risk control of mean-reversion time in statistical arbitrage
- Time consistency of multi-period distortion measures
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