| Article ID: | iaor20127747 |
| Volume: | 40 |
| Issue: | 6 |
| Start Page Number: | 436 |
| End Page Number: | 439 |
| Publication Date: | Nov 2012 |
| Journal: | Operations Research Letters |
| Authors: | Shapiro Alexander |
| Keywords: | stochastic dynamic programme |
In this paper we discuss time consistency of risk averse multistage stochastic programming problems. We show, in a framework of finite scenario trees, that composition of law invariant coherent risk measures can be law invariant only for the expectation or max‐risk measures.