Two Types of Risk

DOI10.1007/0-387-33815-2_7MaRDI QIDQ5297387zbMATH OpenOpenAlexFDO

Authors Boda Kang, Jerzy Filar

Publication date 18 July 2007

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/0-387-33815-2_7

zbMATH Keywords

assuranceconditional value-at-riskconditional value-of-gainportfolio optimizationrainfallscenariostemperaturetwo-sided riskType I riskType II riskvalue-at-riskvalue-of-gain

Mathematics Subject Classification ID

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(4)

• Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
• Different Kinds of Risk
• Zero-sum stochastic games with the average-value-at-risk criterion
• Finite horizon semi-Markov games with the expected-positive-deviation criterion

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