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Evaluations of Risk Measures for Different Probability Measures.
Alois Pichler
Published in:
SIAM J. Optim. (2013)
Keyphrases
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risk measures
probability measures
stochastic process
metric space
probability measure
risk averse
conditional probabilities
stochastic processes
hilbert space
robust optimization
portfolio optimization
markov chain
belief functions
bayesian networks
decision makers
probability distribution
reinforcement learning