Conditional Risk Mappings
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References listed on IDEAS
- Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, University Library of Munich, Germany, revised 08 Oct 2005.
- Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999.
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- 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:
- Shapiro, Alexander, 2012. "Minimax and risk averse multistage stochastic programming," European Journal of Operational Research, Elsevier, vol. 219(3), pages 719-726.
- Zachary Feinstein & Birgit Rudloff, 2015. "A Supermartingale Relation for Multivariate Risk Measures," Papers 1510.05561, arXiv.org, revised Jan 2018.
- Bernardo K. Pagnoncelli & Adriana Piazza, 2017. "The optimal harvesting problem under price uncertainty: the risk averse case," Annals of Operations Research, Springer, vol. 258(2), pages 479-502, November.
- Jingnan Fan & Andrzej Ruszczynski, 2014. "Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems," Papers 1411.2675, arXiv.org, revised Nov 2016.
- Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, University Library of Munich, Germany.
- Zachary Feinstein & Birgit Rudloff, 2012. "Time consistency of dynamic risk measures in markets with transaction costs," Papers 1201.1483, arXiv.org, revised Dec 2012.
- Stadje, Mitja, 2010. "Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 391-404, December.
- Vincent Guigues, 2014. "SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning," Computational Optimization and Applications, Springer, vol. 57(1), pages 167-203, January.
- Zachary Feinstein & Birgit Rudloff, 2012. "Multiportfolio time consistency for set-valued convex and coherent risk measures," Papers 1212.5563, arXiv.org, revised Oct 2014.
- Laeven, R.J.A. & Stadje, M.A., 2011.
"Entropy Coherent and Entropy Convex Measures of Risk,"
Discussion Paper
2011-031, Tilburg University, Center for Economic Research.
- Laeven, R.J.A. & Stadje, M.A., 2011. "Entropy Coherent and Entropy Convex Measures of Risk," Other publications TiSEM 08f59c7c-7302-47f9-9a9b-b, Tilburg University, School of Economics and Management.
- Li, Jing & Xu, Mingxin, 2009. "Minimizing Conditional Value-at-Risk under Constraint on Expected Value," MPRA Paper 26342, University Library of Munich, Germany, revised 25 Oct 2010.
- Adriana Piazza & Bernardo Pagnoncelli, 2015. "The stochastic Mitra–Wan forestry model: risk neutral and risk averse cases," Journal of Economics, Springer, vol. 115(2), pages 175-194, June.
- Jing Li & Mingxin Xu, 2013.
"Optimal Dynamic Portfolio with Mean-CVaR Criterion,"
Risks, MDPI, vol. 1(3), pages 1-29, November.
- Jing Li & Mingxin Xu, 2013. "Optimal Dynamic Portfolio with Mean-CVaR Criterion," Papers 1308.2324, arXiv.org.
- Zachary Feinstein & Birgit Rudloff, 2015. "Multi-portfolio time consistency for set-valued convex and coherent risk measures," Finance and Stochastics, Springer, vol. 19(1), pages 67-107, January.
- Collado, Ricardo & Meisel, Stephan & Priekule, Laura, 2017. "Risk-averse stochastic path detection," European Journal of Operational Research, Elsevier, vol. 260(1), pages 195-211.
- Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Jan 2015.
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Keywords
Risk; Convex Analysis; Conjugate Duality; Stochastic Optimization; Dynamic Programming; Multi-Stage Programming;All these keywords.
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