Rectangular sets of probability measures
Alexander Shapiro (School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia)
| Year of publication: |
March-April 2016
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| Authors: | Shapiro, Alexander |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 64.2016, 2, p. 528-541
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| Subject: | multistage stochastic optimization | rectangularity | risk-averse optimization | robust optimal control and Markov decision processes | dynamic programming | coherent risk measures | time consistency | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming | Markov-Kette | Markov chain | Risikomaß | Risk measure | Entscheidung | Decision | Kontrolltheorie | Control theory | Entscheidung unter Risiko | Decision under risk | Risikoaversion | Risk aversion | Messung | Measurement | Portfolio-Management | Portfolio selection | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2015.1466 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011485624