Time consistency of dynamic risk measures
type: Item
instance of: scholarly article
title: Time consistency of dynamic risk measures
zbMATH Open document ID: 1258.91111
published in: Operations Research Letters
publication date: 2013-03-05T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 6141218
zbMATH Keywords: multistage stochastic programming
zbMATH Keywords: risk averse optimization
zbMATH Keywords: dynamic programming
zbMATH Keywords: time consistency
zbMATH Keywords: coherent risk measures
author: Alexander Shapiro
MaRDI profile type: Publication
full work available at URL: j.orl.2012.08.007
OpenAlex ID: W2092277809
cites work: Coherent measures of risk
cites work: Q4836494
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cites work: Risk-averse dynamic programming for Markov decision processes
cites work: Conditional Risk Mappings
cites work: On a time consistency concept in risk averse multistage stochastic programming
cites work: Lectures on Stochastic Programming
DOI: 10.1016/J.ORL.2012.08.007
description: scientific article; zbMATH DE number 6141218