Conditional Risk Mappings

Authors:
Andrzej Ruszczyński;Alexander Shapiro
Affiliations:
Department of Management Science and Information Systems, Rutgers University, Piscataway, New Jersey 08854, USA;School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332
Venue:
Mathematics of Operations Research
Year:
2006

Citing 2
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Abstract

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.