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• W3137049832 abstract "When dealing with dynamic optimization problems, time consistency is a desirable property as it allows one to solve the problem efficiently through a backward recursion. The mean-risk problem is known to be time inconsistent when considered in its scalarized form. However, when left in its original bi-objective form, it turns out to satisfy a more general time consistency property that seems better suited to a vector optimization problem. In “Time Consistency of the Mean-Risk Problem,” Kováĉova and Rudloff introduce a set-valued version of the famous Bellman principle and show that the bi-objective mean-risk problem does satisfy it. Then, the upper image, a set that contains the efficient frontier on its boundary, recurses backward in time. Kováĉova and Rudloff present conditions under which this recursion can be exploited directly to compute a solution in the spirit of dynamic programming. This opens the door for a new branch in mathematics: dynamic multivariate programming." @default.
• W3137049832 created "2021-03-29" @default.
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• W3137049832 date "2021-07-01" @default.
• W3137049832 modified "2023-10-13" @default.
• W3137049832 title "Time Consistency of the Mean-Risk Problem" @default.
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• W3137049832 doi "https://doi.org/10.1287/opre.2020.2002" @default.
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