Time consistency of dynamic risk measures
نویسنده
چکیده
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.
منابع مشابه
Dynamic risk measuring: discrete time in a context of uncertainty, and continuous time on a probability space
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 40 شماره
صفحات -
تاریخ انتشار 2012