Time consistency of dynamic risk measures

Time consistency of dynamic risk measures

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Article ID: iaor20127747
Volume: 40
Issue: 6
Start Page Number: 436
End Page Number: 439
Publication Date: Nov 2012
Journal: Operations Research Letters
Authors:
Keywords: stochastic dynamic programme
Abstract:

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.

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