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Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals
16 references·2 citing·34 second hop
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2009Lectures on Stochastic Programming1,419 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2002Dual Stochastic Dominance and Related Mean-Risk Models496 cited
  • 2006Optimization of Convex Risk Functions474 cited
  • 2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
  • 2007Modeling, Measuring and Managing Risk326 cited
  • 2007Law invariant risk measures have the Fatou property292 cited
  • 2005Portfolio optimization with stochastic dominance constraints224 cited
  • 2009On a time consistency concept in risk averse multistage stochastic programming157 cited
  • 2007Modeling, Measuring and Managing Risk149 cited
  • 2011COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME147 cited
  • 2009Representation results for law invariant time consistent functions127 cited
  • 2012On Kusuoka Representation of Law Invariant Risk Measures

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  • 2017Risk management for forestry planning under uncertainty in demand and prices53 cited
  • 2016From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties42 cited