کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
478208 1446033 2014 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences
ترجمه فارسی عنوان
سازگاری زمان و مدل تصمیم گیری پویا ریسک پذیری در معرض خطر: تعریف، تفسیر و پیامدهای عملی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی


• An economic interpretation for the recursive time consistent objective function.
• A new methodology to compute the sub-optimality gap of a time inconsistent policy.
• We illustrate developed concepts with a CVaR-based portfolio selection example.

This paper aims at resolving a major obstacle to practical usage of time-consistent risk-averse decision models. The recursive objective function, generally used to ensure time consistency, is complex and has no clear/direct interpretation. Practitioners rather choose a simpler and more intuitive formulation, even though it may lead to a time inconsistent policy. Based on rigorous mathematical foundations, we impel practical usage of time consistent models as we provide practitioners with an intuitive economic interpretation for the referred recursive objective function. We also discourage time-inconsistent models by arguing that the associated policies are sub-optimal. We developed a new methodology to compute the sub-optimality gap associated with a time-inconsistent policy, providing practitioners with an objective method to quantify practical consequences of time inconsistency. Our results hold for a quite general class of problems and we choose, without loss of generality, a CVaR-based portfolio selection application to illustrate the developed concepts.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 234, Issue 3, 1 May 2014, Pages 743–750
نویسندگان
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