{"id":"https://openalex.org/W1997933673","doi":"https://doi.org/10.1007/s00186-005-0045-1","title":"Time Consistent Dynamic Risk Measures","display_name":"Time Consistent Dynamic Risk Measures","publication_year":2006,"publication_date":"2006-01-25","ids":{"openalex":"https://openalex.org/W1997933673","doi":"https://doi.org/10.1007/s00186-005-0045-1","mag":"1997933673"},"language":"en","primary_location":{"id":"doi:10.1007/s00186-005-0045-1","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00186-005-0045-1","pdf_url":null,"source":{"id":"https://openalex.org/S126160977","display_name":"Mathematical Methods of Operations Research","issn_l":"1432-2994","issn":["1432-2994","1432-5217"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Methods of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Kang Boda","orcid":null},"institutions":[{"id":"https://openalex.org/I170239107","display_name":"University of South Australia","ror":"https://ror.org/01p93h210","country_code":"AU","type":"education","lineage":["https://openalex.org/I170239107"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Kang Boda","raw_affiliation_strings":["Center for Industrial and Applied Mathematics, School of Mathematics & Statistics, University of South Australia, Mawson Lakes, SA, 5095, Australia","University of South Australia"],"affiliations":[{"raw_affiliation_string":"Center for Industrial and Applied Mathematics, School of Mathematics & Statistics, University of South Australia, Mawson Lakes, SA, 5095, Australia","institution_ids":["https://openalex.org/I170239107"]},{"raw_affiliation_string":"University of South Australia","institution_ids":["https://openalex.org/I170239107"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5090477818","display_name":"Jerzy A. Filar","orcid":"https://orcid.org/0000-0001-5587-2541"},"institutions":[{"id":"https://openalex.org/I170239107","display_name":"University of South Australia","ror":"https://ror.org/01p93h210","country_code":"AU","type":"education","lineage":["https://openalex.org/I170239107"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Jerzy A. Filar","raw_affiliation_strings":["Center for Industrial and Applied Mathematics, School of Mathematics & Statistics, University of South Australia, Mawson Lakes, SA, 5095, Australia","University of South Australia"],"affiliations":[{"raw_affiliation_string":"Center for Industrial and Applied Mathematics, School of Mathematics & Statistics, University of South Australia, Mawson Lakes, SA, 5095, Australia","institution_ids":["https://openalex.org/I170239107"]},{"raw_affiliation_string":"University of South Australia","institution_ids":["https://openalex.org/I170239107"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I170239107"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":3.0613,"has_fulltext":false,"cited_by_count":130,"citation_normalized_percentile":{"value":0.90548442,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":95,"max":100},"biblio":{"volume":"63","issue":"1","first_page":"169","last_page":"186"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9898999929428101,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.986299991607666,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cvar","display_name":"CVAR","score":0.9856027364730835},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.763068675994873},{"id":"https://openalex.org/keywords/dynamic-risk-measure","display_name":"Dynamic risk measure","score":0.7328934669494629},{"id":"https://openalex.org/keywords/risk-measure","display_name":"Risk measure","score":0.7022481560707092},{"id":"https://openalex.org/keywords/coherent-risk-measure","display_name":"Coherent risk measure","score":0.6345096826553345},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.6318581104278564},{"id":"https://openalex.org/keywords/time-consistency","display_name":"Time consistency","score":0.6039295196533203},{"id":"https://openalex.org/keywords/percentile","display_name":"Percentile","score":0.5903853178024292},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.5871279835700989},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5522676110267639},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5258405804634094},{"id":"https://openalex.org/keywords/consistency","display_name":"Consistency (knowledge bases)","score":0.5257716178894043},{"id":"https://openalex.org/keywords/dynamic-programming","display_name":"Dynamic programming","score":0.49585089087486267},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.4399257004261017},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.37133321166038513},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3493211269378662},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.3429778218269348},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.18343672156333923},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.15047505497932434},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.14100328087806702},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.12371504306793213},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.11667108535766602}],"concepts":[{"id":"https://openalex.org/C2779922397","wikidata":"https://www.wikidata.org/wiki/Q5014755","display_name":"CVAR","level":4,"score":0.9856027364730835},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.763068675994873},{"id":"https://openalex.org/C167548438","wikidata":"https://www.wikidata.org/wiki/Q5319012","display_name":"Dynamic risk measure","level":4,"score":0.7328934669494629},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.7022481560707092},{"id":"https://openalex.org/C148845407","wikidata":"https://www.wikidata.org/wiki/Q5141358","display_name":"Coherent risk measure","level":4,"score":0.6345096826553345},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.6318581104278564},{"id":"https://openalex.org/C11534374","wikidata":"https://www.wikidata.org/wiki/Q7805280","display_name":"Time consistency","level":2,"score":0.6039295196533203},{"id":"https://openalex.org/C122048520","wikidata":"https://www.wikidata.org/wiki/Q2913954","display_name":"Percentile","level":2,"score":0.5903853178024292},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.5871279835700989},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5522676110267639},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5258405804634094},{"id":"https://openalex.org/C2776436953","wikidata":"https://www.wikidata.org/wiki/Q5163215","display_name":"Consistency (knowledge bases)","level":2,"score":0.5257716178894043},{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.49585089087486267},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.4399257004261017},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.37133321166038513},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3493211269378662},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.3429778218269348},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.18343672156333923},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.15047505497932434},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.14100328087806702},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.12371504306793213},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.11667108535766602},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s00186-005-0045-1","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00186-005-0045-1","pdf_url":null,"source":{"id":"https://openalex.org/S126160977","display_name":"Mathematical Methods of Operations Research","issn_l":"1432-2994","issn":["1432-2994","1432-5217"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Methods of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:compst:v:63:y:2006:i:1:p:169-186","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00186-005-0045-1","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"},{"id":"pmh:oai:espace.library.uq.edu.au:UQ:418609","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306402388","display_name":"Queensland's institutional digital repository (The University of Queensland)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I165143802","host_organization_name":"The University of Queensland","host_organization_lineage":["https://openalex.org/I165143802"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Journal Article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.6200000047683716,"id":"https://metadata.un.org/sdg/13","display_name":"Climate action"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":21,"referenced_works":["https://openalex.org/W606393483","https://openalex.org/W1577804704","https://openalex.org/W1589395967","https://openalex.org/W1606492702","https://openalex.org/W1647779468","https://openalex.org/W1987073631","https://openalex.org/W2019291268","https://openalex.org/W2057510529","https://openalex.org/W2060110534","https://openalex.org/W2062533874","https://openalex.org/W2066118288","https://openalex.org/W2088413745","https://openalex.org/W2119567691","https://openalex.org/W2125845083","https://openalex.org/W2128723253","https://openalex.org/W2150983233","https://openalex.org/W2334782222","https://openalex.org/W2795413297","https://openalex.org/W3124407081","https://openalex.org/W4206621707","https://openalex.org/W4298300677"],"related_works":["https://openalex.org/W3125265748","https://openalex.org/W2951520685","https://openalex.org/W2006012272","https://openalex.org/W2153969568","https://openalex.org/W2384833971","https://openalex.org/W1997933673","https://openalex.org/W2770710625","https://openalex.org/W3173705157","https://openalex.org/W2352151283","https://openalex.org/W151643054"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":7},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":10},{"year":2020,"cited_by_count":6},{"year":2019,"cited_by_count":9},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":14},{"year":2016,"cited_by_count":12},{"year":2015,"cited_by_count":17},{"year":2014,"cited_by_count":16},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":3}],"updated_date":"2026-04-16T08:26:57.006410","created_date":"2025-10-10T00:00:00"}
