SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Markov decision processes with recursive risk measures · Study

ArticleShelves

ArticleMarkov decision processes with recursive risk measures

Nicole Bäuerle2021

OA

Articlegreen2021

Markov decision processes with recursive risk measures

Nicole Bäuerle · Alexander Glauner

27 citations·0/0 files stored·European Journal of Operational Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Probability and Risk Models Adaptive Dynamic Programming Control

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 27 citations exist upstream.

References

1978Temporal Resolution of Uncertainty and Dynamic Choice Theory 2002Stochastic Finance: An Introduction in Discrete Time 2003Recursive multiple-priors 2004Dynamic coherent risk measures 2011Markov Decision Processes with Applications to Finance 2005Conditional and dynamic convex risk measures 2004Stochastic finance. an introduction in discrete time 2006DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2024Markov decision processes with risk-sensitive criteria: an overviewarticle · 9 shared references 2008Time-inconsistency of VaR and time-consistent alternativesarticle · 7 shared references 2012Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubblesarticle · 7 shared references 2015Tight Approximations of Dynamic Risk Measuresarticle · 7 shared references 2011COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIMEarticle · 6 shared references 2014Multi-portfolio time consistency for set-valued convex and coherent risk measuresarticle · 6 shared references

Details

Year2021

Typearticle

Published2021-04-24

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations27

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1016/j.ejor.2021.04.030

openalex_workW3092690983

Links

Imported from OpenAlex (CC0) — nothing here is generated.