Time Consistency Versus Law Invariance in Multistage Stochastic Optimization with Coherent Risk Measures: Multilevel Optimization Modeling and Computational Complexity
Coherent risk measures have become a popular tool for incorporating risk aversion into stochastic optimization models. For dynamic models in which un-certainly is resolved at more than one stage, however, use of coherent risk measures within a standard single-level optimization framework presents the modeler with an uncomfortable choice between two desirable model properties, time consistency … Read more