Decomposability and time consistency of risk averse multistage programs
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Abstract (arXiv)
Two approaches to time consistency of risk averse multistage stochastic problems were discussed in the recent literature. In one approach certain properties of the cor-responding risk measure are postulated which imply its decomposability. The other approach deals directly with conditional optimality of solutions of the considered problem. The aim of this paper is to discuss a relation between these two approaches.
Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 5 Jun 2018.
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