Time consistency of dynamic risk measures

Alexander Shapiro(ashapiroisye.gatech.edu)

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.

Keywords: Multistage stochastic programming, risk averse optimization, dynamic programming, time consistency, coherent risk measures

Category 1: Stochastic Programming

Category 2: Other Topics (Dynamic Programming )

Citation: Preprint

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Entry Submitted: 01/06/2012
Entry Accepted: 01/06/2012
Entry Last Modified: 03/21/2012

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