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Dynamic coherent risk measures
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COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
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TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
inferred← citeshttps://doi.org/10.1111/mafi.12062openalex-snapshot
MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g ‐EXPECTATION
inferred← citeshttps://doi.org/10.1111/mafi.12093openalex-snapshot
MEAN‐VARIANCE POLICY FOR DISCRETE‐TIME CONE‐CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM‐VARIANCE SIGNED SUPERMARTINGALE MEASURE
inferred← citeshttps://doi.org/10.1111/mafi.12388openalex-snapshot
Reinforcement learning with dynamic convex risk measures
inferred← citeshttps://doi.org/10.1137/040605217openalex-snapshot
Polyhedral Risk Measures in Stochastic Programming
inferred← citeshttps://doi.org/10.1137/1.9781611974072.22openalex-snapshot
Dynamic Risk Measures for Finite-State Partially Observable Markov Decision Problems
inferred← citeshttps://doi.org/10.1137/1.9781611974072.63openalex-snapshot
A Risk-Averse Analog of the Hamilton–Jacobi–Bellman Equation
inferred← citeshttps://doi.org/10.1137/1.9781611975024.11openalex-snapshot
Risk-Averse Control of Continuous-Time Markov Chains
inferred← citeshttps://doi.org/10.1137/13093902xopenalex-snapshot
Risk-Averse Control of Undiscounted Transient Markov Models
inferred← citeshttps://doi.org/10.1137/140976029openalex-snapshot
Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time
inferred← citeshttps://doi.org/10.1137/141002013openalex-snapshot
Dynamic Conic Finance via Backward Stochastic Difference Equations
inferred← citeshttps://doi.org/10.1137/16m1058492openalex-snapshot
Optimal Control of Conditional Value-at-Risk in Continuous Time
inferred← citeshttps://doi.org/10.1137/16m1063794openalex-snapshot
Time-Coherent Risk Measures for Continuous-Time Markov Chains
inferred← citeshttps://doi.org/10.1137/19m1259134openalex-snapshot
Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach
inferred← citeshttps://doi.org/10.1137/20m1370616openalex-snapshot
Conditional Systemic Risk Measures
inferred← citeshttps://doi.org/10.1137/21m1390517openalex-snapshot
Mathematical Foundations of Distributionally Robust Multistage Optimization
inferred← citeshttps://doi.org/10.1137/22m151830xopenalex-snapshot
Time Consistency for Multistage Stochastic Optimization Problems under Constraints in Expectation
inferred← citeshttps://doi.org/10.1137/22m1527209openalex-snapshot
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
inferred← citeshttps://doi.org/10.1137/22m1538946openalex-snapshot
Risk-Adaptive Approaches to Stochastic Optimization: A Survey
inferred← citeshttps://doi.org/10.1137/23m1564626openalex-snapshot
Time-Consistent Reinforcement Learning for Optimal Consumption Under Epstein–Zin Preferences
inferred← citeshttps://doi.org/10.1137/s0040585x97t990022openalex-snapshot
A Fundamental Theorem of Asset Pricing for Continuous Time Large Financial Markets in a Two Filtration Setting
inferred← citeshttps://doi.org/10.1142/9789814407892_0007openalex-snapshot
COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
inferred← citeshttps://doi.org/10.1142/s0219024910006157openalex-snapshot
MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
inferred← citeshttps://doi.org/10.1142/s0219024911006292openalex-snapshot
COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
inferred← citeshttps://doi.org/10.1142/s0219024913500027openalex-snapshot
DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
inferred← citeshttps://doi.org/10.1142/s0219024914500034openalex-snapshot
ARE TIME CONSISTENT VALUATIONS INFORMATION MONOTONE?
inferred← citeshttps://doi.org/10.1142/s0219024914500113openalex-snapshot
VECTOR-VALUED COHERENT RISK MEASURE PROCESSES
inferred← citeshttps://doi.org/10.1142/s0219024917500479openalex-snapshot
DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS
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