Time-inconsistent multistage stochastic programs: Martingale bounds

Georg Ch. Pflug and Alois Pichler

European Journal of Operational Research, 2016, vol. 249, issue 1, 155-163

Abstract: Multistage stochastic programs show time-inconsistency in general, if the objective is neither the expectation nor the maximum functional.

Keywords: Stochastic optimization; Risk measure; Average Value-at-Risk; Dynamic programming; Time consistency (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:249:y:2016:i:1:p:155-163

DOI: 10.1016/j.ejor.2015.02.033

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