Time-inconsistent multistage stochastic programs: Martingale bounds

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Title
Time-inconsistent multistage stochastic programs: Martingale bounds
Authors
Keywords
Stochastic optimization, Risk measure, Average Value-at-Risk, Dynamic programming, Time consistency
Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 249, Issue 1, Pages 155-163
Publisher
Elsevier BV
Online
2015-02-20
DOI
10.1016/j.ejor.2015.02.033

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