Time consistency and risk averse dynamic decision models : definition, interpretation and practical consequences
Year of publication: |
2014
|
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Authors: | Rudloff, Birgit ; Street, Alexandre ; Valladão, Davi M. |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 234.2014, 3 (1.5.), p. 743-750
|
Subject: | Time consistency | Dynamic stochastic programming | Risk aversion | Conditional Value-at-Risk (CVaR) | Portfolio selection | Theorie | Theory | Portfolio-Management | Risikomaß | Risk measure | Zeitkonsistenz | Risikoaversion | Experiment | Stochastischer Prozess | Stochastic process | Entscheidung | Decision |
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