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Uniqueness of convex-ranged probabilities and applications to risk measures and games
Amarante, Massimiliano; Liebrich, Felix-Benedikt; … - In: Mathematics of operations research 50 (2025) 1, pp. 743-763
Persistent link: https://www.econbiz.de/10015211767
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Time-consistent decisions and temporal decomposition of coherent risk functionals
Pflug, Georg; Pichler, Alois - In: Mathematics of operations research 41 (2016) 2, pp. 682-699
Persistent link: https://www.econbiz.de/10011520518
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Additive consisency of risk measures and its application to risk-averse routing in networks
Cominetti, Roberto; Torrico, Alfredo - In: Mathematics of operations research 41 (2016) 4, pp. 1510-1521
Persistent link: https://www.econbiz.de/10011595108
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Surplus-invariant risk measures
Gao, Niushan; Munari, Cosimo-Andrea - In: Mathematics of operations research 45 (2020) 4, pp. 1342-1370
Persistent link: https://www.econbiz.de/10012320322
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Distributional transforms, probability distortions, and their applications
Liu, Peng; Schied, Alexander; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 4, pp. 1490-1512
Persistent link: https://www.econbiz.de/10012796660
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Distributionally robust Markov decision processes and their connection to risk measures
Bäuerle, Nicole; Glauner, Alexander - In: Mathematics of operations research 47 (2022) 3, pp. 1757-1780
Persistent link: https://www.econbiz.de/10013374970
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Risk-averse optimal control in continuous time by nesting risk measures
Pichler, Alois; Schlotter, Ruben - In: Mathematics of operations research 48 (2023) 3, pp. 1657-1678
Persistent link: https://www.econbiz.de/10014329353