Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures
نویسندگان
چکیده
منابع مشابه
Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures
In this paper, we consider a finite-horizon Markov decision process (MDP) for which the objective at each stage is to minimize a quantile-based risk measure (QBRM) of the sequence of future costs; we call the overall objective a dynamic quantile-based risk measure (DQBRM). In particular, we consider optimizing dynamic risk measures where the one-step risk measures are QBRMs, a class of risk mea...
متن کاملPortfolio optimization with quantile-based risk measures
In this thesis we analyze Portfolio Optimization risk-reward theory, a generalization of the mean-variance theory, in the cases where the risk measures are quantile-based (such as the Value at Risk (V aR) and the shortfall). We show, using multicriteria theory arguments, that if the measure of risk is convex and the measure of reward concave with respect to the allocation vector, then the expec...
متن کاملRisk neutral and risk averse Stochastic Dual Dynamic Programming method
In this paper we discuss risk neutral and risk averse approaches to multistage (linear) stochastic programming problems based on the Stochastic Dual Dynamic Programming (SDDP) method. We give a general description of the algorithm and present computational studies related to planning of the Brazilian interconnected power system. 2012 Elsevier B.V. All rights reserved.
متن کاملDynamic linear programming games with risk-averse players
Motivated by situations in which independent agents, or players, wish to cooperate in some uncertain endeavor over time, we study dynamic linear programming games, which generalize classical linear production games to multi-period settings under uncertainty. We specifically consider that players may have risk-averse attitudes towards uncertainty, and model this risk aversion using coherent cond...
متن کاملInsurance Applications of Quantile-based Risk Measures
We discuss a number of quantile-based risk measures (QBRMs) that have recently been developed in the financial risk and actuarial/insurance literatures. The measures considered include the Value-at-Risk (VaR), coherent risk measures, spectral risk measures, and distortion risk measures. We discuss and compare the properties of these different measures, and point out that the VaR is seriously fl...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2018
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.2017.0872