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Time Consistent Dynamic Risk Measures

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References

1999Coherent Measures of Risk8,849 cited
2000Optimization of conditional value-at-risk6,711 cited
1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
2002Conditional value-at-risk for general loss distributions3,847 cited
2003Deviation Measures in Risk Analysis and Optimization188 cited
2002Financial Engineering, E-commerce and Supply Chain114 cited

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2017Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures45 cited
2020Time (in)consistency of multistage distributionally robust inventory models with moment constraints35 cited
2015

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Tight Approximations of Dynamic Risk Measures

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