Article ID Journal Published Year Pages File Type
1142937 Operations Research Letters 2012 4 Pages PDF
Abstract

In this paper we discuss time consistency of risk averse multistage stochastic programming problems. We show, in a framework of finite scenario trees, that composition of law invariant coherent risk measures can be law invariant only for the expectation or max-risk measures.

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Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
Preview
Time consistency of dynamic risk measures
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