Conditional Risk Mappings

Andrzej Ruszczynski, Alexander Shapiro
2005 Social Science Research Network  
We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings.
doi:10.2139/ssrn.714241 fatcat:blicbnwo55egrbskujociyeldq