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Markov decision processes with recursive risk measures
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Markov decision processes with recursive risk measures (2021)Markov decision processes with recursive …Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach (2015)Risk-Sensitive and Robust Dec…On Solving Multistage Stochastic Programs with Coherent Risk Measures (2013)On Solving Multistage Stochas…Remarks on quantiles and distortion risk measures (2012)Remarks on quantiles and dist…Markov Decision Processes with Average-Value-at-Risk criteria (2011)Markov Decision Processes wit…Markov Decision Processes with Applications to Finance (2011)Markov Decision Processes wit…Dynamic Risk Measures (2011)Dynamic Risk MeasuresAdvanced Mathematical Methods for Finance (2011)Advanced Mathematical Methods…Time consistent dynamic risk processes (2008)Time consistent dynamic risk …DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY (2006)DISTRIBUTION‐INVARIANT RISK M…Stochastic orders and risk measures: Consistency and bounds (2005)Stochastic orders and risk me…Conditional and dynamic convex risk measures (2005)Conditional and dynamic conve…Stochastic finance. an introduction in discrete time (2004)Stochastic finance. an introd…Dynamic coherent risk measures (2004)Dynamic coherent risk measuresRecursive multiple-priors (2003)Recursive multiple-priorsStochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)Consistent risk measures for portfolio vectors (2005)TVaR-based capital allocation with copulas (2009)Risk aggregation with dependence uncertainty (2013)Risk, Ambiguity, and the Savage Axioms (1961)Maxmin expected utility with non-unique prior (1989)Robust Control and Model Uncertainty (2001)Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Subjective probability and expected utility without additivity (2004)Personality Psychology and Economics (2011)Convex measures of risk and trading constraints (2002)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Risk measures via -expectations (2006)Lectures on Stochastic Programming (2009)Utility Theory for Decision Making (1971)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)A Smooth Model of Decision Making under Ambiguity (2005)Optimization of conditional value-at-risk (2000)Robust Control of Markov Decision Processes with Uncertain Transition Matrices (2005)Sequential Decision Making With Coherent Risk (2016)Safety-Aware Optimal Control of Stochastic Systems Using Conditional Value-at-Risk (2018)Recent Advances in Reinforcement Learning in Finance (2021)Stochastic Games (1953)From Bandits to Monte-Carlo Tree Search: The Optimistic Principle Applied to Optimization and Planning (2014)Trading financial indices with reinforcement learning agents (2018)A brief review of portfolio optimization techniques (2022)Generalized deviations in risk analysis (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Convex risk measures and the dynamics of their penalty functions (2006)RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES (2006)On elicitable risk measures (2015)Modeling and optimization of risk (2010)Conditional value-at-risk in portfolio optimization: Coherent but fragile (2011)Measures of Systemic Risk (2017)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)
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References

  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,215 cited
  • 2003Recursive multiple-priors868 cited
  • 2004Dynamic coherent risk measures400 cited
  • 2011Markov Decision Processes with Applications to Finance398 cited
  • 2005Conditional and dynamic convex risk measures356 cited
  • 2004Stochastic finance. an introduction in discrete time351 cited
  • 2006DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY227 cited
  • 2015Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach143 cited
  • 2005Stochastic orders and risk measures: Consistency and bounds138 cited
  • 2012Remarks on quantiles and distortion risk measures128 cited
  • 2011Dynamic Risk Measures127 cited
  • 2011Advanced Mathematical Methods for Finance115 cited
  • 2013On Solving Multistage Stochastic Programs with Coherent Risk Measures112 cited
  • 2011Markov Decision Processes with Average-Value-at-Risk criteria108 cited
  • 2008Time consistent dynamic risk processes

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