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Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach

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References

1999Coherent Measures of Risk8,849 cited
2000Optimization of conditional value-at-risk6,711 cited
2005Robust Control of Markov Decision Processes with Uncertain Transition Matrices700 cited
2005Robust Dynamic Programming579 cited
2005Measuring Market Risk489 cited

Cited by

2021Recent Advances in Reinforcement Learning in Finance62 cited
2016Sequential Decision Making With Coherent Risk62 cited
2018Safety-Aware Optimal Control of Stochastic Systems Using Conditional Value-at-Risk54 cited
2020Answerable and Unanswerable Questions in Risk Analysis with Open‐World Novelty14 cited
2024Individual differences in tail risk sensitive exploration using Bayes-adaptive Markov decision processes5 cited
2022Leveraging Machine Learning to Automatically Derive Robust Decision Strategies from Imperfect Knowledge of the Real World4 cited
2024Risking your Tail: Modeling Individual Differences in Risk-sensitive Exploration using Bayes Adaptive Markov Decision Processes2 cited

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