Browsing by Author "Filar, Jerzy"

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Browsing by Author "Filar, Jerzy"

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  • Kang, Boda; Filar, Jerzy; Lin, Yuanlie; Spanjers, Lieneke (IEEE Control Systems Society, 2004)
    We consider a problem of optimal control of a ?retirement investment fund? over a finite time horizon with a target hitting time criteria. That is, we wish to decide, at each stage, what percentage of the current retirement ...
  • Kang, Boda; Filar, Jerzy (Springer, 2006)
    We introduce the time-consistency concept that is inspired by the so-called ?principle of optimality? of dynamic programming and demonstrate ? via an example ? that the conditional value-at-risk (CVaR) need not be ...
  • Filar, Jerzy; Kang, Boda (Springer, 2006)
    The risk encountered in many environmental problems appears to exhibit special ?two-sided? characteristics. For instance, in a given area and in a given period, farmers do not want to see too much or too little rainfall. ...