SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Time Consistent Dynamic Risk Measures · Study

ArticleShelves

ArticleTime Consistent Dynamic Risk Measures

Jerzy A. Filar2006

Article2006

Time Consistent Dynamic Risk Measures

126 citations·0/0 files stored·Mathematical Methods of Operations Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 126 citations exist upstream.

References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1959Portfolio Selection: Efficient Diversification of Investments 2002Conditional value-at-risk for general loss distributions 2003Deviation Measures in Risk Analysis and Optimization 2002Financial Engineering, E-commerce and Supply Chain

Cited by

2011Markov Decision Processes with Average-Value-at-Risk criteria 2019Conditional value‐at‐risk beyond finance: a survey 2013Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences 2011Investment Propensities under Carbon Policy Uncertainty 2011Multistage Stochastic Programming 2015MEAN‐VARIANCE POLICY FOR DISCRETE‐TIME CONE‐CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM‐VARIANCE SIGNED SUPERMARTINGALE MEASURE 2017Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures 2020Time (in)consistency of multistage distributionally robust inventory models with moment constraints

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2009Constructing Risk Measures from Uncertainty Setsarticle · 5 shared references 2006Optimality conditions in portfolio analysis with general deviation measuresarticle · 5 shared references 2012Portfolio value-at-risk optimization for asymmetrically distributed asset returnsarticle · 5 shared references 2007Equilibrium with investors using a diversity of deviation measuresarticle · 5 shared references 2005Generalized deviations in risk analysisarticle · 4 shared references 2009Robust portfolios: contributions from operations research and financearticle · 4 shared references

Details

Year2006

Typearticle

Published2006-01-25

VenueMathematical Methods of Operations Research

ISSN-L1432-2994

Languageen

Citations126

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1007/s00186-005-0045-1

openalex_workW1997933673

Links

Imported from OpenAlex (CC0) — nothing here is generated.