Abstract
We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings.
| Original language | American English |
|---|---|
| Pages (from-to) | 544-561 |
| Number of pages | 18 |
| Journal | Mathematics of Operations Research |
| Volume | 31 |
| Issue number | 3 |
| DOIs | |
| State | Published - 2006 |
ASJC Scopus subject areas
- General Mathematics
- Computer Science Applications
- Management Science and Operations Research
Keywords
- Conjugate duality
- Dynamic programming
- Multistage stochastic programming
- Risk
- Stochastic optimization
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