Time-consistent decisions and temporal decomposition of coherent risk functionals

Georg Ch. Pflug (University of Vienna, Vienna, Austria; and International Institute for Applied Systems Analysis (IIASA), Laxenburg, Austria), Alois Pichler (Norwegian University of Science and Technology (NTNU), Trondheim, Norway)

Year of publication:	May 2016
Authors:	Pflug, Georg ; Pichler, Alois
Published in:	Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 41.2016, 2, p. 682-699
Subject:	risk measures \| time consistency \| convex duality \| Theorie \| Theory \| Zeitkonsistenz \| Time consistency \| Risiko \| Risk \| Risikomaß \| Risk measure \| Entscheidung unter Risiko \| Decision under risk \| Messung \| Measurement

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