Optimization Online


Time consistency of dynamic risk measures

Alexander Shapiro(ashapiro***at***isye.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

Download: [PDF]

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

Modify/Update this entry

  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository


Coordinator's Board
Classification Scheme
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society