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  1. Journal of Systems Science and Complexity
  2. Journal of Systems Science and Complexity : Volume 24
  3. Journal of Systems Science and Complexity : Volume 24, Issue 5, October 2011
  4. Dynamic CVaR with multi-period risk problems
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Journal of Systems Science and Complexity : Volume 30
Journal of Systems Science and Complexity : Volume 29
Journal of Systems Science and Complexity : Volume 28
Journal of Systems Science and Complexity : Volume 27
Journal of Systems Science and Complexity : Volume 26
Journal of Systems Science and Complexity : Volume 25
Journal of Systems Science and Complexity : Volume 24
Journal of Systems Science and Complexity : Volume 24, Issue 6, December 2011
Journal of Systems Science and Complexity : Volume 24, Issue 5, October 2011
Viability criteria for differential inclusions
Two effective stability criteria for linear time-delay systems with complex coefficients
Properties of storage functions and applications to nonlinear stochastic H $_{∞}$ control
Output-feedback control for nonholonomic systems with linear growth condition
Stabilization of wave equation with variable coefficients by nonlinear boundary feedback
Higher-order duality for a class of nondifferentiable multiobjective programming problems involving generalized type I and related functions
Optimal risk control policies for diffusion models with non-cheap proportional reinsurance and bankruptcy value
Dynamic CVaR with multi-period risk problems
Smooth estimation of ROC curve in the presence of auxiliary information
The superiorities of Bayes linear unbiased estimation in partitioned linear model
Sequential empirical Bayesian design for sensitivity experiments
Further study strong consistency of M estimator in linear model for $$\tilde \rho$$ -mixing random samples
Sample-size determination for two independent binomial experiments
Finite volume element method with Lagrangian cubic functions
Upwind finite volume element methods for one-dimensional semiconductor device
An anisotropic nonconforming finite element scheme with moving grids for parabolic integro-differential equations
Journal of Systems Science and Complexity : Volume 24, Issue 4, August 2011
Journal of Systems Science and Complexity : Volume 24, Issue 3, June 2011
Journal of Systems Science and Complexity : Volume 24, Issue 2, April 2011
Journal of Systems Science and Complexity : Volume 24, Issue 1, February 2011
Journal of Systems Science and Complexity : Volume 23
Journal of Systems Science and Complexity : Volume 22
Journal of Systems Science and Complexity : Volume 21
Journal of Systems Science and Complexity : Volume 20
Journal of Systems Science and Complexity : Volume 19

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Dynamic CVaR with multi-period risk problems

Content Provider SpringerLink
Author Meng, Zhiqing Jiang, Min Hu, Qiying
Copyright Year 2011
Abstract This paper studies multi-period risk management problems by presenting a dynamic risk measure. This risk measure is the sum of conditional value-at-risk of each period. The authors model it by Markov decision processes and derive its optimality equation. This equation is further transformed equivalently to an analytically tractable one. The authors then use the model and its results to a multi-period portfolio optimization when the return rate vectors at each period form a Markov chain.
Starting Page 907
Ending Page 918
Page Count 12
File Format PDF
ISSN 10096124
Journal Journal of Systems Science and Complexity
Volume Number 24
Issue Number 5
e-ISSN 15597067
Language English
Publisher Academy of Mathematics and Systems Science, Chinese Academy of Sciences
Publisher Date 2011-10-04
Publisher Place Beijing
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword α-CVaR multi-period optimality equation optimal policy Statistics Operations Research/Decision Theory Systems Theory, Control Mathematics of Computing Statistical Physics, Dynamical Systems and Complexity
Content Type Text
Resource Type Article
Subject Information Systems
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