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Alexander Shapiro, Wajdi Tekaya, Joari Paulo da Costa, Murilo Pereira Soares, "Risk neutral and risk averse Stochastic Dual Dynamic Programming method", European Journal of Operations Research, vol. 224, pp. 375-391, 2013. doi:10.1016/j.ejor.2012.08.022

has been cited by the following article:

• TITLE: A New Class of Time-Consistent Dynamic Risk Measures and its Application

  AUTHORS: Rui Gao, Zhiping Chen

  KEYWORDS: Dynamic Risk Measure; Time-Consistent; Cash-Subadditive; Portfolio Optimization; Stochastic Programming

  JOURNAL NAME: Technology and Investment, Vol.4 No.1B, January 17, 2013

  ABSTRACT: We construct a new time consistent dynamic convex cash-subadditive risk measure in this paper. Different from exist-ing measures, both potential loss and volatility of risky objects are considered. Based on a one-period measure that dis-torts financial values, punishes downside risk yet rewards upside potential, a dynamic time consistent version is con-structed recursively through a modified translation property. We then establish a portfolio selection model and give its optimal condition.