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On a time consistency concept in risk averse multistage stochastic programming
11 references·16 citing·29 second hop
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this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2006Optimization of Convex Risk Functions474 cited
  • 2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
  • 2004Dynamic coherent risk measures400 cited
  • 2005Conditional and dynamic convex risk measures356 cited
  • 2004Risk measures for the 21st century329 cited
  • 2007Modeling, Measuring and Managing Risk326 cited
  • 2006Conditional Risk Mappings251 cited
  • 2006DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY227 cited
  • 2004Dynamic convex risk measures136 cited

Cited by

  • 2019A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice112 cited
  • 2011Markov Decision Processes with Average-Value-at-Risk criteria108 cited
  • 2015Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective103 cited
  • 2019Conditional value‐at‐risk beyond finance: a survey98 cited
  • 2022Resource planning strategies for healthcare systems during a pandemic

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

93 cited
  • 2014Evaluating policies in risk-averse multi-stage stochastic programming89 cited
  • 2013Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences86 cited
  • 2011Minimax and risk averse multistage stochastic programming85 cited
  • 2012Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures70 cited
  • 2017A survey on risk-averse and robust revenue management66 cited
  • 2016Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals66 cited
  • 2011Multistage Stochastic Programming59 cited
  • 2017Risk management for forestry planning under uncertainty in demand and prices53 cited
  • 2012Time consistency of dynamic risk measures52 cited
  • 2011Dynamic consistency for stochastic optimal control problems47 cited
  • 2015Time-inconsistent multistage stochastic programs: Martingale bounds45 cited