Tight Approximations of Dynamic Risk Measures
نویسندگان
چکیده
منابع مشابه
Tight Approximations of Dynamic Risk Measures
This paper compares two different frameworks recently introduced in the literature for measuring risk in a multi-period setting. The first corresponds to applying a single coherent risk measure to the cumulative future costs, while the second involves applying a composition of one-step coherent risk mappings. We summarize the relative strengths of the two methods, characterize several necessary...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2015
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.2014.0689