Time consistent dynamic risk measures

Mathematical Methods of Operations Research

Volumn 63, Issue 1, 2006, Pages 169-186

  Boda, Kang ^a   Filar, Jerzy A ^a  

^a UNIVERSITY OF SOUTH AUSTRALIA   (Australia)

Author keywords

Conditional value at risk; Markov decision process; Multi stage; Target percentile; Time consistency; Value at risk

Indexed keywords

DYNAMIC PROGRAMMING; INVESTMENTS; OPTIMAL CONTROL SYSTEMS;

CONDITIONAL VALUE-AT-RISK; MARKOV DECISION PROCESS; MULTI-STAGE; TARGET-PERCENTILE; TIME CONSISTENCY; VALUE-AT-RISK;

RISK ASSESSMENT;

EID: 32044445036     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-005-0045-1     Document Type: Article

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