| Article ID: | iaor200948538 |
| Country: | United States |
| Volume: | 31 |
| Issue: | 3 |
| Start Page Number: | 544 |
| End Page Number: | 561 |
| Publication Date: | Aug 2006 |
| Journal: | Mathematics of Operations Research |
| Authors: | Shapiro Alexander, Ruszczyski Andrzej |
| Keywords: | programming: dynamic |
We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings.