Risk-averse stochastic programming : time consistency and optimal stopping

Alois Pichler, Rui Peng Liu, Alexander Shapiro

Year of publication:	2022
Authors:	Pichler, Alois ; Liu, Rui Peng ; Shapiro, Alexander
Published in:	Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 70.2022, 4, p. 2439-2455
Subject:	American put option \| coherent risk measures \| dynamic equations \| inventory model \| optimal stopping time \| Optimization \| Snell envelope \| stochastic programming \| time consistency \| Stochastischer Prozess \| Stochastic process \| Suchtheorie \| Search theory \| Mathematische Optimierung \| Mathematical programming \| Dynamische Optimierung \| Dynamic programming \| Risikomaß \| Risk measure \| Portfolio-Management \| Portfolio selection \| Zeitkonsistenz \| Time consistency \| Optionspreistheorie \| Option pricing theory