Time-inconsistent multistage stochastic programs : martingale bounds
Georg Ch. Pflug, Alois Pichler
| Year of publication: |
2016
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|---|---|
| Authors: | Pflug, Georg ; Pichler, Alois |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 249.2016, 1 (16.2.), p. 155-163
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| Subject: | Stochastic optimization | Risk measure | Average Value-at-Risk | Dynamic programming | Time consistency | Risikomaß | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Zeitkonsistenz | Portfolio-Management | Portfolio selection | Martingal | Martingale | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.02.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011434903