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Time consistency of dynamic risk measures · Study

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ArticleTime consistency of dynamic risk measures

Alexander Shapiro2012

Article2012

Time consistency of dynamic risk measures

Alexander Shapiro

52 citations·0/0 files stored·Operations Research Letters

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Risk and Portfolio Optimization Stochastic processes and financial applications Probability and Risk Models

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References

1999Coherent Measures of Risk 2009Lectures on Stochastic Programming: Modeling and Theory 2002Stochastic Finance: An Introduction in Discrete Time 2004Stochastic finance. an introduction in discrete time 2006Conditional Risk Mappings 2009On a time consistency concept in risk averse multistage stochastic programming 2009Representation results for law invariant time consistent functions

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2015Time-inconsistent multistage stochastic programs: Martingale bounds 2016Rectangular Sets of Probability Measures

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Details

Year2012

Typearticle

Published2012-08-27

VenueOperations Research Letters

ISSN-L0167-6377

Languageen

Citations52

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.orl.2012.08.007

openalex_workW2092277809

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