Browsing Journal Articles by Author "Filar, Jerzy"

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Browsing Journal Articles by Author "Filar, Jerzy"

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  • 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 ...