A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle

DOI10.1007/s10898-016-0459-8zbMath1414.91183arXiv1508.02367OpenAlexW2252390983MaRDI QIDQ2397431

Birgit Rudloff, Zachary Feinstein

Publication date: 22 May 2017

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.02367

zbMATH Keywords

vector optimizationdynamic programmingtransaction costsBellman's principledynamic risk measuresset-valued risk measures

Mathematics Subject Classification ID

Related Items (15)

Time Consistency of the Mean-Risk Problem ⋮ A new coherent multivariate average-value-at-risk ⋮ Geometric Duality Results and Approximation Algorithms for Convex Vector Optimization Problems ⋮ Stein's lemma for truncated elliptical random vectors ⋮ Time consistency for set-valued dynamic risk measures for bounded discrete-time processes ⋮ A norm minimization-based convex vector optimization algorithm ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Algorithms to Solve Unbounded Convex Vector Optimization Problems ⋮ A supermartingale relation for multivariate risk measures ⋮ SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations ⋮ Multivariate tail conditional expectation for elliptical distributions ⋮ On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation ⋮ Time consistency for scalar multivariate risk measures ⋮ Conditional Systemic Risk Measures

Uses Software

• BENSOLVE

Cites Work

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