Measuring multi-period risk

Georg Ch PfIug and Werner Römisch
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Georg Ch PfIug: University of Vienna, Austria
Werner Römisch: Humboldt-University Berlin, Germany

Chapter 3 in Modeling, Measuring and Managing Risk, 2007, pp 115-173 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Introduction to multi-period modelsEvolving information: filtrations and tree processesDynamic acceptability functionalsIntroducing information into single-period functionalsMulti-period risk functionals: basic properties Dual representations of multi-period acceptability functionalsVersion-independent multi-period risk functionalsClasses of multi-period acceptability functionalsSeparable functionalsRisk functionals of the value-of-information typeMore about the multi-period average value-at-riskComposition of conditional acceptability mappingsPolyhedral multi-period acceptability functionalsPolyhedral acceptability functionals in multi-stage stochastic programsSummary

Keywords: Risk Management; Risk Measures; Stochastic Optimization; Stochastic Models; Decision Making under Uncertainty (search for similar items in EconPapers)
Date: 2007
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