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math.OC2018
Martingale Characterizations of Risk-Averse Stochastic Optimization Problems
Alois Pichler, Ruben Schlotter
This paper addresses risk awareness of stochastic optimization problems. Nested risk measures appear naturally in this context, as they allow beneficial reformulations for algorith…
math.PR2018
Entropy Based Risk Measures
Alois Pichler, Ruben Schlotter
Entropy is a measure of self-information which is used to quantify losses. Entropy was developed in thermodynamics, but is also used to compare probabilities based on their deviati…