Conditional Risk Mappings

Andrzej Ruszczyński, Alexander Shapiro

Source record

Source: Crossref

Published: Aug 1, 2006

DOI: 10.1287/moor.1060.0204

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Source 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.

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