Time-inconsistent multistage stochastic programs : martingale bounds
Georg Ch. Pflug, Alois Pichler
| Year of publication: |
2016
|
|---|---|
| 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
|
| Subject: | Stochastic optimization | Risk measure | Average Value-at-Risk | Dynamic programming | Time consistency | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risikomaß | Zeitkonsistenz | Dynamische Optimierung | Martingal | Martingale | Portfolio-Management | Portfolio selection |
| 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