Coherent multiperiod risk adjusted values and Bellman's principle.

Philippe Artzner Freddy Delbaen Jean-Marc Eber David Heath Hyejin Ku

Published in: Ann. Oper. Res. (2007)

Keyphrases

decision making
risk management
investment decisions
linear program
database
real time
machine learning
bayesian networks
standard deviation
parameter values
feature values
risk measures