Time-consistent decisions and temporal decomposition of coherent risk functionals
Year of publication: |
May 2016
|
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Authors: | Pflug, Georg ; Pichler, Alois |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 41.2016, 2, p. 682-699
|
Subject: | risk measures | time consistency | convex duality | Theorie | Theory | Zeitkonsistenz | Time consistency | Risiko | Risk | Messung | Measurement | Risikomaß | Risk measure | Entscheidung unter Risiko | Decision under risk |
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