Risk-averse sequential decision problems with time-consistent stochastic dominance constraints.

Darinka Dentcheva Mingsong Ye Yunxuan Yi

Published in: CDC (2022)

Keyphrases

stochastic dominance
risk averse
risk neutral
utility function
risk aversion
sequential decision problems
decision makers
random variables
learning algorithm
objective function
expected utility
stochastic programming
decision making
dynamic programming
portfolio management