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A value-of-information approach to measuring risk in multi-period economic activity

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  • Pflug, Georg Ch.

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  • Pflug, Georg Ch., 2006. "A value-of-information approach to measuring risk in multi-period economic activity," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 695-715, February.
    • Handle: RePEc:eee:jbfina:v:30:y:2006:i:2:p:695-715
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    References listed on IDEAS

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. M.A.H. Dempster & R.T. Thompson, 1999. "EVPI‐based importance sampling solution proceduresfor multistage stochastic linear programmeson parallel MIMD architectures," Annals of Operations Research, Springer, vol. 90(0), pages 161-184, January.
    3. Sharpe, William F., 1971. "A Linear Programming Approximation for the General Portfolio Analysis Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1263-1275, December.
    4. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    5. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
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    Cited by:

    1. Wiechers, Christof, 2011. "Construction of uncertainty sets for portfolio selection problems," Discussion Papers in Econometrics and Statistics 4/11, University of Cologne, Institute of Econometrics and Statistics.
    2. Borgonovo, Emanuele & Hazen, Gordon B. & Jose, Victor Richmond R. & Plischke, Elmar, 2021. "Probabilistic sensitivity measures as information value," European Journal of Operational Research, Elsevier, vol. 289(2), pages 595-610.
    3. Homem-de-Mello, Tito & Pagnoncelli, Bernardo K., 2016. "Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective," European Journal of Operational Research, Elsevier, vol. 249(1), pages 188-199.
    4. Caliskan-Demirag, Ozgun & (Frank) Chen, Youhua & Li, Jianbin, 2011. "Customer and retailer rebates under risk aversion," International Journal of Production Economics, Elsevier, vol. 133(2), pages 736-750, October.
    5. Dai, Jiansheng & Meng, Weidong, 2015. "A risk-averse newsvendor model under marketing-dependency and price-dependency," International Journal of Production Economics, Elsevier, vol. 160(C), pages 220-229.
    6. Han Zhao & Shiji Song & Yuli Zhang & Jatinder N. D. Gupta & Anna G. Devlin & Raymond Chiong, 2019. "Supply Chain Coordination with a Risk-Averse Retailer and a Combined Buy-Back and Revenue Sharing Contract," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 36(05), pages 1-23, October.
    7. Emanuele Borgonovo & Alessandra Cillo & Curtis L. Smith, 2018. "On the Relationship between Safety and Decision Significance," Risk Analysis, John Wiley & Sons, vol. 38(8), pages 1541-1558, August.
    8. Emanuele Borgonovo & Alessandra Cillo, 2017. "Deciding with Thresholds: Importance Measures and Value of Information," Risk Analysis, John Wiley & Sons, vol. 37(10), pages 1828-1848, October.
    9. Youhua (Frank) Chen & Minghui Xu & Zhe George Zhang, 2009. "Technical Note---A Risk-Averse Newsvendor Model Under the CVaR Criterion," Operations Research, INFORMS, vol. 57(4), pages 1040-1044, August.
    10. Bäuerle Nicole & Mundt André, 2009. "A Bayesian approach to incorporate model ambiguity in a dynamic risk measure," Statistics & Risk Modeling, De Gruyter, vol. 26(3), pages 219-242, April.

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