Time consistency and risk averse dynamic decision models : definition, interpretation and practical consequences
Birgit Rudloff; Alexandre Street; Davi M. Valladão
| Year of publication: |
2014
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|---|---|
| Authors: | Rudloff, Birgit ; Street, Alexandre ; Valladão, Davi M. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 234.2014, 3 (1.5.), p. 743-750
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| Subject: | Time consistency | Dynamic stochastic programming | Risk aversion | Conditional Value-at-Risk (CVaR) | Portfolio selection | Portfolio-Management | Zeitkonsistenz | Risikomaß | Risk measure | Risikoaversion | Stochastischer Prozess | Stochastic process | Risiko | Risk | Entscheidungstheorie | Decision theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010360424