Building up time-consistency for risk measures and dynamic optimizatio
Michel De Lara, Vincent Leclère
| Year of publication: |
2016
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|---|---|
| Authors: | De Lara, Michel ; Leclère, Vincent |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 249.2016, 1 (16.2.), p. 177-187
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| Subject: | Dynamic programming | Time-consistency | Dynamic risk measures | Theorie | Theory | Dynamische Optimierung | Risikomaß | Risk measure | Zeitkonsistenz | Time consistency | Risiko | Risk | Messung | Measurement | 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.2015.03.046 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011435779