Time-Coherent Risk Measures for Continuous-Time Markov Chains.

Darinka Dentcheva Andrzej Ruszczynski

Published in: SIAM J. Financial Math. (2018)

Keyphrases

risk measures
continuous time markov chains
markov processes
poisson distribution
numerically stable
risk averse
robust optimization
portfolio optimization
decision making
non stationary
markov chain
problems involving
markov process