In this paper, an approximation of dynamic programming using sequential stochastic programming is introduced to solve long-term dynamic financial planning problems. We prove that by approximating the true asset return dynamics by a set of scenarios and re-solving the problem at every time-step,...

The aim of this paper is to introduce a new property for good quantile or Value-at-Risk (VaR) estimators. We define probability unbiasedness for the α-quantile estimator from a finite amount of data (<inline-formula id="ILM0001"> <inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="rquf_a_469278_o_ilm0001.gif"/> </inline-formula>) for the distribution function <italic>F</italic> _θ with parameter θ such that the estimator also has this...