Multi-period risk functionals
نویسنده
چکیده
The paper focuses on multi-period aspects of risk functionals. It discusses properties, provides dual representations and offers methods for constructing multiperiod risk functionals. On the way, existence results and representations for conditional risk mappings are derived. In particular, conditional, multi-period and nested versions of the average value-at-risk are given. Finally, the importance of polyhedral multi-period risk functionals for their employment in practical dynamic decision making and risk management is discussed.
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