Risk-averse optimal control in continuous time by nesting risk measures

Alois Pichler, Ruben Schlotter

Year of publication:	2023
Authors:	Pichler, Alois ; Schlotter, Ruben
Published in:	Mathematics of operations research. - Hanover, Md. : INFORMS, ISSN 1526-5471, ZDB-ID 2004273-5. - Vol. 48.2023, 3, p. 1657-1678
Subject:	optimal control \| risk measures \| stochastic processes \| Stochastischer Prozess \| Stochastic process \| Risiko \| Risk \| Risikomaß \| Risk measure \| Kontrolltheorie \| Control theory \| Messung \| Measurement \| Risikoaversion \| Risk aversion \| Portfolio-Management \| Portfolio selection \| Risikomanagement \| Risk management

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