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Measuring multi-period risk

In: Modeling, Measuring And Managing Risk

Author

Listed:
  • Georg Ch PfIug

    (University of Vienna, Austria)

  • Werner Römisch

    (Humboldt-University Berlin, Germany)

Abstract

The following sections are included:Introduction to multi-period modelsEvolving information: filtrations and tree processesDynamic acceptability functionalsIntroducing information into single-period functionalsMulti-period risk functionals: basic properties Dual representations of multi-period acceptability functionalsVersion-independent multi-period risk functionalsClasses of multi-period acceptability functionalsSeparable functionalsRisk functionals of the value-of-information typeMore about the multi-period average value-at-riskComposition of conditional acceptability mappingsPolyhedral multi-period acceptability functionalsPolyhedral acceptability functionals in multi-stage stochastic programsSummary

Suggested Citation

  • Georg Ch PfIug & Werner Römisch, 2007. "Measuring multi-period risk," World Scientific Book Chapters, in: Modeling, Measuring And Managing Risk, chapter 3, pages 115-173, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812708724_0003
    as

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