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Coherent multiperiod risk adjusted values and Bellman’s principle

Citations

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Cited by:

  1. Hampus Engsner & Mathias Lindholm & Filip Lindskog, 2016. "Insurance valuation: a computable multi-period cost-of-capital approach," Papers 1607.04100, arXiv.org.
  2. Fu, Tianwen & Zhuang, Xinkai & Hui, Yongchang & Liu, Jia, 2017. "Convex risk measures based on generalized lower deviation and their applications," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 27-37.
  3. Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019. "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 43-50.
  4. Leippold, Markus & Schärer, Steven, 2017. "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
  5. Roorda Berend & Schumacher Hans, 2013. "Membership conditions for consistent families of monetary valuations," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.
  6. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2018. "A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 204-221, February.
  7. Samuel N. Cohen & Tanut Treetanthiploet, 2019. "Gittins' theorem under uncertainty," Papers 1907.05689, arXiv.org, revised Aug 2020.
  8. Fasen Vicky & Svejda Adela, 2012. "Time consistency of multi-period distortion measures," Statistics & Risk Modeling, De Gruyter, vol. 29(2), pages 133-153, June.
  9. Zachary Feinstein & Birgit Rudloff, 2012. "Multiportfolio time consistency for set-valued convex and coherent risk measures," Papers 1212.5563, arXiv.org, revised Oct 2014.
  10. Zsolt Bihary & Péter Csóka & Dávid Zoltán Szabó, 2020. "Spectral risk measure of holding stocks in the long run," Annals of Operations Research, Springer, vol. 295(1), pages 75-89, December.
  11. Yi-Ting Chen & Edward W. Sun & Min-Teh Yu, 2018. "Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 653-684, August.
  12. Yi-Ting Chen & Edward W. Sun & Yi-Bing Lin, 2019. "Coherent quality management for big data systems: a dynamic approach for stochastic time consistency," Annals of Operations Research, Springer, vol. 277(1), pages 3-32, June.
  13. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Other publications TiSEM 0841e78f-a73b-42c1-b7d4-0, Tilburg University, School of Economics and Management.
  14. Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Mar 2019.
  15. Kovacevic Raimund M., 2012. "Conditional risk and acceptability mappings as Banach-lattice valued mappings," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 1-18, March.
  16. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015.
  17. Mahmutoğulları, Ali İrfan & Çavuş, Özlem & Aktürk, M. Selim, 2018. "Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR," European Journal of Operational Research, Elsevier, vol. 266(2), pages 595-608.
  18. Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian, 2015. "Tight Approximations of Dynamic Risk Measures," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 655-682, March.
  19. Zachary Feinstein & Birgit Rudloff, 2018. "Time consistency for scalar multivariate risk measures," Papers 1810.04978, arXiv.org, revised Jul 2019.
  20. Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Nov 2020.
  21. Acciaio, Beatrice & Föllmer, Hans & Penner, Irina, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library.
  22. Barigou, Karim & Chen, Ze & Dhaene, Jan, 2019. "Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 19-29.
  23. Ibrahim Abada & Andreas Ehrenmann & Yves Smeers, 2017. "Modeling Gas Markets with Endogenous Long-Term Contracts," Operations Research, INFORMS, vol. 65(4), pages 856-877, August.
  24. Dirk Becherer & Klebert Kentia, 2017. "Hedging under generalized good-deal bounds and model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(1), pages 171-214, August.
  25. Hung Nguyen & Uyen Pham & Hien Tran, 2012. "On some claims related to Choquet integral risk measures," Annals of Operations Research, Springer, vol. 195(1), pages 5-31, May.
  26. Schur, Rouven & Gönsch, Jochen & Hassler, Michael, 2019. "Time-consistent, risk-averse dynamic pricing," European Journal of Operational Research, Elsevier, vol. 277(2), pages 587-603.
  27. Zsolt Bihary & Péter Csóka & Dávid Zoltán Szabó, 0. "Spectral risk measure of holding stocks in the long run," Annals of Operations Research, Springer, vol. 0, pages 1-15.
  28. Liu, Jia & Chen, Zhiping, 2018. "Time consistent multi-period robust risk measures and portfolio selection models with regime-switching," European Journal of Operational Research, Elsevier, vol. 268(1), pages 373-385.
  29. G. Dorfleitner & J. Gerer, 2020. "Time consistent pricing of options with embedded decisions," Review of Derivatives Research, Springer, vol. 23(1), pages 85-119, April.
  30. Berend Roorda, 2010. "An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree," Annals of Operations Research, Springer, vol. 181(1), pages 463-483, December.
  31. Laureano F. Escudero & Juan F. Monge, 2018. "On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management," Computational Management Science, Springer, vol. 15(3), pages 479-500, October.
  32. Pierre Carpentier & Jean-Philippe Chancelier & Guy Cohen & Michel Lara & Pierre Girardeau, 2012. "Dynamic consistency for stochastic optimal control problems," Annals of Operations Research, Springer, vol. 200(1), pages 247-263, November.
  33. Martijn Pistorius & Mitja Stadje, 2016. "On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation," Papers 1604.08037, arXiv.org.
  34. Eisele Karl-Theodor & Kupper Michael, 2016. "Asymptotically stable dynamic risk assessments," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 41-50, September.
  35. Lesedi Mabitsela & Calisto Guambe & Rodwell Kufakunesu, 2018. "A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations," Papers 1808.04611, arXiv.org.
  36. Alois Pichler, 2017. "A quantitative comparison of risk measures," Annals of Operations Research, Springer, vol. 254(1), pages 251-275, July.
  37. Gönsch, Jochen, 2017. "A survey on risk-averse and robust revenue management," European Journal of Operational Research, Elsevier, vol. 263(2), pages 337-348.
  38. Alonso-Ayuso, Antonio & Escudero, Laureano F. & Guignard, Monique & Weintraub, Andres, 2018. "Risk management for forestry planning under uncertainty in demand and prices," European Journal of Operational Research, Elsevier, vol. 267(3), pages 1051-1074.
  39. Naomi Miller & Andrzej Ruszczyński, 2011. "Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition," Operations Research, INFORMS, vol. 59(1), pages 125-132, February.
  40. Ricardo Collado & Dávid Papp & Andrzej Ruszczyński, 2012. "Scenario decomposition of risk-averse multistage stochastic programming problems," Annals of Operations Research, Springer, vol. 200(1), pages 147-170, November.
  41. Yun Shi & Xun Li & Xiangyu Cui, 2017. "Better than pre-committed optimal mean-variance policy in a jump diffusion market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(3), pages 327-347, June.
  42. Henri Gérard & Michel Lara & Jean-Philippe Chancelier, 2020. "Equivalence between time consistency and nested formula," Annals of Operations Research, Springer, vol. 292(2), pages 627-647, September.
  43. Özlem Çavuş & Andrzej Ruszczyński, 2014. "Computational Methods for Risk-Averse Undiscounted Transient Markov Models," Operations Research, INFORMS, vol. 62(2), pages 401-417, April.
  44. Andreas Ehrenmann & Yves Smeers, 2011. "Generation Capacity Expansion in a Risky Environment: A Stochastic Equilibrium Analysis," Operations Research, INFORMS, vol. 59(6), pages 1332-1346, December.
  45. Pierre Devolder & Adrien Lebègue, 2016. "Compositions of Conditional Risk Measures and Solvency Capital," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-1, December.
  46. D. Madan & M. Pistorius & M. Stadje, 2017. "On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation," Finance and Stochastics, Springer, vol. 21(4), pages 1073-1102, October.
  47. Engelage, Daniel, 2009. "Optimal Stopping with Dynamic Variational Preferences," Bonn Econ Discussion Papers 20/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
  48. Gregor Dorfleitner, 0. "On the use of the terminal-value approach in risk-value models," Annals of Operations Research, Springer, vol. 0, pages 1-21.
  49. Jingnan Fan & Andrzej Ruszczyński, 2018. "Risk measurement and risk-averse control of partially observable discrete-time Markov systems," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(2), pages 161-184, October.
  50. Georg Ch. Pflug & Alois Pichler, 2016. "Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals," Mathematics of Operations Research, INFORMS, vol. 41(2), pages 682-699, May.
  51. Engsner, Hampus & Lindholm, Mathias & Lindskog, Filip, 2017. "Insurance valuation: A computable multi-period cost-of-capital approach," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 250-264.
  52. Sıtkı Gülten & Andrzej Ruszczyński, 2015. "Two-stage portfolio optimization with higher-order conditional measures of risk," Annals of Operations Research, Springer, vol. 229(1), pages 409-427, June.
  53. Henri Gérard & Michel Lara & Jean-Philippe Chancelier, 0. "Equivalence between time consistency and nested formula," Annals of Operations Research, Springer, vol. 0, pages 1-21.
  54. Cui, Xiangyu & Li, Duan & Shi, Yun, 2020. "Resolving Time Inconsistency of Decision Problem with Non-expectation Operator: From Internal Conflict to Internal Harmony by Strategy of Self-Coordination," SocArXiv 8m5w2, Center for Open Science.
  55. Xiangyu Cui & Xun Li & Duan Li & Yun Shi, 2017. "Time consistent behavioral portfolio policy for dynamic mean–variance formulation," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(12), pages 1647-1660, December.
  56. Strub, Moris S. & Li, Duan & Cui, Xiangyu & Gao, Jianjun, 2019. "Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  57. Hampus Engsner & Kristoffer Lindensjo & Filip Lindskog, 2018. "The value of a liability cash flow in discrete time subject to capital requirements," Papers 1808.03328, arXiv.org.
  58. Cui, Xiangyu & Gao, Jianjun & Shi, Yun & Zhu, Shushang, 2019. "Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection," European Journal of Operational Research, Elsevier, vol. 276(2), pages 781-789.
  59. Henri G'erard & Michel de Lara & Jean-Philippe Chancelier, 2017. "Equivalence Between Time Consistency and Nested Formula," Papers 1711.08633, arXiv.org, revised May 2019.
  60. Hampus Engsner & Kristoffer Lindensjö & Filip Lindskog, 2020. "The value of a liability cash flow in discrete time subject to capital requirements," Finance and Stochastics, Springer, vol. 24(1), pages 125-167, January.
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