Time-consistent approximations of risk-averse multistage stochastic optimization problems
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Software
Link
http://link.springer.com/content/pdf/10.1007/s10107-014-0813-x.pdf
Reference31 articles.
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3. Fritelli, M., Rosazza Gianin, E.: Putting order in risk measures. J. Bank. Financ. 26, 1473–1486 (2002)
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5. Artzner, P., Delbaen, F., Eber, J.M., Heath, D., Ku, H.: Coherent multiperiod risk adjusted values and Bellman’s principle. Ann. Oper. Res. 152, 5–22 (2007)
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