Search Results - subject:"Optimized certainty equivalent"

Markov decision processes with risk-sensitive criteria: an overview

Bäuerle, Nicole; Jaśkiewicz, Anna - In: Mathematical Methods of Operations Research 99 (2024) 1, pp. 141-178

’risk-sensitive’ refers here to the use of the Optimized Certainty Equivalent as a means to measure expectation and risk … procedures are explained. We present both the theory when the Optimized Certainty Equivalent is applied recursively as well as …

Persistent link: https://www.econbiz.de/10015358830

Markov decision processes with risk-sensitive criteria : an overview

Bäuerle, Nicole; Jaśkiewicz, Anna - In: Mathematical methods of operations research : ZOR 99 (2024) 1/2, pp. 141-178

Persistent link: https://www.econbiz.de/10015125537

A modified exchange algorithm for distributional robust optimization and applications in risk management

Sun, Hailin; Zhang, Dali; Wu, Soon-Yi; Chen, Liang - In: International transactions in operational research : a … 29 (2022) 1, pp. 130-157

Persistent link: https://www.econbiz.de/10012630733

On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration

Backhoff-Veraguas, Julio; Tangpi, Ludovic - In: Mathematics and financial economics 14 (2020) 3, pp. 433-460

Persistent link: https://www.econbiz.de/10012240302

Optimal initial capital induced by the optimized certainty equivalent

Arai, Takuji; Asano, Takao; Nishide, Katsumasa - In: Insurance / Mathematics & economics 85 (2019), pp. 115-125

Persistent link: https://www.econbiz.de/10011990619

Set-valued shortfall and divergence risk measures

Ararat, Çağin; Hamel, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-48

Persistent link: https://www.econbiz.de/10011733939

Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures

Boţ, Radu; Frătean, Alina-Ramona - In: Mathematical Methods of Operations Research 74 (2011) 2, pp. 191-215

A fruitful idea, when providing subdifferential formulae and dual representations for convex risk measures, is to make use of the conjugate duality theory in convex optimization. In this paper we underline the outstanding role played by the qualification conditions in the context of different...

Persistent link: https://www.econbiz.de/10010999580

Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures

Boţ, Radu; Frătean, Alina-Ramona - In: Computational Statistics 74 (2011) 2, pp. 191-215

Persistent link: https://www.econbiz.de/10010759180