Conditional risk mappings

• 成果类型: Article
• 署名作者: Ruszczynski, Andrzej; Shapiro, Alexander
• 署名单位: Rutgers University System; Rutgers University New Brunswick; University System of Georgia; Georgia Institute of Technology
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1060.0204
• 发表日期: 2006
• 页码: 544-561
• 关键词: stochastic-dominance; coherent

摘要

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.