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Expectiles In Risk Averse Stochastic Programming and Dynamic Optimization by Lakshmanan, Rajmadan; Pichler, Alois is a scholarly article available to read on EtoBox.

What is Expectiles In Risk Averse Stochastic Programming and Dynamic Optimization about?

This paper features expectiles in dynamic and stochastic optimization. Expectiles are a family of risk functionals characterized as minimizers of optimization problems. For this reason, they enjoy various unique stability properties, which can be exploited in risk averse management, in stochastic optimization and in optimal control. The paper provides tight relates of expectiles to other risk functionals and addresses their properties in regression. Further, we extend expectiles to a dynamic framework. As such, they allow incorporating a risk averse aspect in continuous-time dynamic optimization and a risk averse variant of the Hamilton-Jacobi-Bellman equations.

Author

Lakshmanan, Rajmadan; Pichler, Alois

Published

2023

Language

EN