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Time consistency of dynamic risk measures
7 references·2 citing·31 second hop
Time consistency of dynamic risk measures (2012)Time consistency of dynamic risk measuresRepresentation results for law invariant time consistent functions (2009)Representation results for la…On a time consistency concept in risk averse multistage stochastic programming (2009)On a time consistency concept…Lectures on Stochastic Programming: Modeling and Theory (2009)Lectures on Stochastic Progra…Conditional Risk Mappings (2006)Conditional Risk MappingsStochastic finance. an introduction in discrete time (2004)Stochastic finance. an introd…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Coherent Measures of Risk (1999)Coherent Measures of RiskRectangular Sets of Probability Measures (2016)Rectangular Sets of Probabili…Time-inconsistent multistage stochastic programs: Martingale bounds (2015)Time-inconsistent multistage …A Stochastic Approximation Method (1951)Analysis of stochastic dual dynamic programming method (2010)Data-driven chance constrained stochastic program (2015)Theory of games and economic behavior (2019)Frameworks and Results in Distributionally Robust Optimization (2022)Optimization of Convex Risk Functions (2006)Markov Decision Processes with Average-Value-at-Risk criteria (2011)Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective (2015)A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice (2019)An Introduction to Copulas (1999)Conditional value-at-risk for general loss distributions (2002)From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties (2016)Risk, Ambiguity, and the Savage Axioms (1961)RISK MEASURES: RATIONALITY AND DIVERSIFICATION (2010)Dynamic Risk Measures (2011)Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals (2016)Optimization of conditional value-at-risk (2000)Convex measures of risk and trading constraints (2002)Coherent Approaches to Risk in Optimization Under Uncertainty (2007)Stochastic programming approach to optimization under uncertainty (2007)The fundamental risk quadrangle in risk management, optimization and statistical estimation (2013)Recursive multiple-priors (2003)Technical Note—Time Inconsistency of Optimal Policies of Distributionally Robust Inventory Models (2020)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Modeling and optimization of risk (2010)Conditional value-at-risk in portfolio optimization: Coherent but fragile (2011)Measures of Systemic Risk (2017)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2009Lectures on Stochastic Programming: Modeling and Theory1,623 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2004Stochastic finance. an introduction in discrete time351 cited
  • 2006Conditional Risk Mappings251 cited
  • 2009On a time consistency concept in risk averse multistage stochastic programming157 cited
  • 2009Representation results for law invariant time consistent functions127 cited

Cited by

  • 2015Time-inconsistent multistage stochastic programs: Martingale bounds45 cited
  • 2016Rectangular Sets of Probability Measures42 cited

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