Measuring multi-period risk
Georg Ch PfIug, Werner Römisch · WORLD SCIENTIFIC eBooks · 2007
AbstractThe following sections are included:Introduction to multi-period modelsEvolving information: filtrations and tree processesDynamic acceptability functionalsIntroducing information into single-period functionalsMulti-period risk functionals: basic properties Dual representations of multi-period acceptability functionalsVersion-independent multi-period risk functionalsClasses of multi-period acceptability functionalsSeparable functionalsRisk functionals of the value-of-information typeMore about the multi-period average value-at-riskComposition of conditional acceptability mappingsPolyhedral multi-period acceptability functionalsPolyhedral acceptability functionals in multi-stage stochastic programsSummary