{"id":"https://openalex.org/W2069326331","doi":"https://doi.org/10.1007/s10479-006-0132-6","title":"Coherent multiperiod risk adjusted values and Bellman\u2019s principle","display_name":"Coherent multiperiod risk adjusted values and Bellman\u2019s principle","publication_year":2006,"publication_date":"2006-11-13","ids":{"openalex":"https://openalex.org/W2069326331","doi":"https://doi.org/10.1007/s10479-006-0132-6","mag":"2069326331"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-006-0132-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-006-0132-6","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"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":"Annals 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":"https://openalex.org/A5090587455","display_name":"Philippe Artzner","orcid":null},"institutions":[{"id":"https://openalex.org/I4210118362","display_name":"Institut de Recherche Math\u00e9matique Avanc\u00e9e","ror":"https://ror.org/02hwgty18","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I4210118362","https://openalex.org/I4210141950","https://openalex.org/I68947357"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Philippe Artzner","raw_affiliation_strings":["Institut de Recherche Math\u00e9matique Avanc\u00e9e, 7 rue Ren\u00e9 Descartes, F 67084, Strasbourg, France","Institut de Recherche Math\u00e9matique Avanc\u00e9e"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institut de Recherche Math\u00e9matique Avanc\u00e9e, 7 rue Ren\u00e9 Descartes, F 67084, Strasbourg, France","institution_ids":["https://openalex.org/I4210118362"]},{"raw_affiliation_string":"Institut de Recherche Math\u00e9matique Avanc\u00e9e","institution_ids":["https://openalex.org/I4210118362"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5016596605","display_name":"Freddy Delbaen","orcid":"https://orcid.org/0000-0003-2422-1433"},"institutions":[{"id":"https://openalex.org/I2799323385","display_name":"Board of the Swiss Federal Institutes of Technology","ror":"https://ror.org/01rvn4p91","country_code":"CH","type":"government","lineage":["https://openalex.org/I2799323385"]},{"id":"https://openalex.org/I35440088","display_name":"ETH Zurich","ror":"https://ror.org/05a28rw58","country_code":"CH","type":"education","lineage":["https://openalex.org/I2799323385","https://openalex.org/I35440088"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"Freddy Delbaen","raw_affiliation_strings":["Eidgen\u00f6ssische Technische Hochschule, Zurich, Switzerland","Eidgen\u00f6ssische Technische Hochschule"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Eidgen\u00f6ssische Technische Hochschule, Zurich, Switzerland","institution_ids":["https://openalex.org/I2799323385","https://openalex.org/I35440088"]},{"raw_affiliation_string":"Eidgen\u00f6ssische Technische Hochschule","institution_ids":["https://openalex.org/I2799323385"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5085786867","display_name":"Jean\u2010Marc Eber","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Jean-Marc Eber","raw_affiliation_strings":["Lexifi, Paris, France","Lexifi"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Lexifi, Paris, France","institution_ids":[]},{"raw_affiliation_string":"Lexifi","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5102711054","display_name":"David Heath","orcid":"https://orcid.org/0000-0002-2004-5850"},"institutions":[{"id":"https://openalex.org/I74973139","display_name":"Carnegie Mellon University","ror":"https://ror.org/05x2bcf33","country_code":"US","type":"education","lineage":["https://openalex.org/I74973139"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"David Heath","raw_affiliation_strings":["Carnegie Mellon University, Pittsburgh, USA","Carnegie Mellon University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Carnegie Mellon University, Pittsburgh, USA","institution_ids":["https://openalex.org/I74973139"]},{"raw_affiliation_string":"Carnegie Mellon University","institution_ids":["https://openalex.org/I74973139"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5067984321","display_name":"Hyejin Ku","orcid":"https://orcid.org/0000-0003-0107-6974"},"institutions":[{"id":"https://openalex.org/I192455969","display_name":"York University","ror":"https://ror.org/05fq50484","country_code":"CA","type":"education","lineage":["https://openalex.org/I192455969"]},{"id":"https://openalex.org/I57206974","display_name":"New York University","ror":"https://ror.org/0190ak572","country_code":"US","type":"education","lineage":["https://openalex.org/I57206974"]}],"countries":["CA","US"],"is_corresponding":false,"raw_author_name":"Hyejin Ku","raw_affiliation_strings":["York University, New York, USA","York University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"York University, New York, USA","institution_ids":["https://openalex.org/I57206974"]},{"raw_affiliation_string":"York University","institution_ids":["https://openalex.org/I192455969"]}]}],"institutions":[],"countries_distinct_count":4,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5090587455"],"corresponding_institution_ids":["https://openalex.org/I4210118362"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":27.9867,"has_fulltext":false,"cited_by_count":426,"citation_normalized_percentile":{"value":0.99778248,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":100},"biblio":{"volume":"152","issue":"1","first_page":"5","last_page":"22"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9973000288009644,"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":0.9973000288009644,"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/T10928","display_name":"Probabilistic and Robust Engineering Design","score":0.9660999774932861,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"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/T11357","display_name":"Risk and Safety Analysis","score":0.9652000069618225,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/ambiguity","display_name":"Ambiguity","score":0.7395370602607727},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.702674150466919},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.631960391998291},{"id":"https://openalex.org/keywords/coherent-risk-measure","display_name":"Coherent risk measure","score":0.598703145980835},{"id":"https://openalex.org/keywords/risk-measure","display_name":"Risk measure","score":0.5818493962287903},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5699162483215332},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.5672898888587952},{"id":"https://openalex.org/keywords/stability","display_name":"Stability (learning theory)","score":0.5517176389694214},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.5415419340133667},{"id":"https://openalex.org/keywords/spectral-risk-measure","display_name":"Spectral risk measure","score":0.4618567228317261},{"id":"https://openalex.org/keywords/dynamic-risk-measure","display_name":"Dynamic risk measure","score":0.4434829652309418},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4054972529411316},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.37584003806114197},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.34061840176582336},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3014397621154785},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.283231645822525},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.19098585844039917},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.15350642800331116},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.07451644539833069},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.07226318120956421}],"concepts":[{"id":"https://openalex.org/C2780522230","wikidata":"https://www.wikidata.org/wiki/Q1140419","display_name":"Ambiguity","level":2,"score":0.7395370602607727},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.702674150466919},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.631960391998291},{"id":"https://openalex.org/C148845407","wikidata":"https://www.wikidata.org/wiki/Q5141358","display_name":"Coherent risk measure","level":4,"score":0.598703145980835},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.5818493962287903},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5699162483215332},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.5672898888587952},{"id":"https://openalex.org/C112972136","wikidata":"https://www.wikidata.org/wiki/Q7595718","display_name":"Stability (learning theory)","level":2,"score":0.5517176389694214},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.5415419340133667},{"id":"https://openalex.org/C69257216","wikidata":"https://www.wikidata.org/wiki/Q7575204","display_name":"Spectral risk measure","level":4,"score":0.4618567228317261},{"id":"https://openalex.org/C167548438","wikidata":"https://www.wikidata.org/wiki/Q5319012","display_name":"Dynamic risk measure","level":4,"score":0.4434829652309418},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4054972529411316},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.37584003806114197},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.34061840176582336},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3014397621154785},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.283231645822525},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.19098585844039917},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.15350642800331116},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.07451644539833069},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.07226318120956421},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"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/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1007/s10479-006-0132-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-006-0132-6","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"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":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.202.9659","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.202.9659","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.math.ethz.ch/~delbaen/ftp/preprints/adehk-or.pdf","raw_type":"text"},{"id":"pmh:oai:HAL:hal-00116735v1","is_oa":false,"landing_page_url":"https://hal.science/hal-00116735","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Annals of Operations Research, 2005, s.p. &#x27E8;10.1007/s10479-006-0132-6&#x27E9;","raw_type":"Journal articles"},{"id":"pmh:oai:RePEc:spr:annopr:v:152:y:2007:i:1:p:5-22:10.1007/s10479-006-0132-6","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s10479-006-0132-6","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":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/16","display_name":"Peace, Justice and strong institutions","score":0.7799999713897705}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W649943522","https://openalex.org/W652129087","https://openalex.org/W1553648478","https://openalex.org/W1563505767","https://openalex.org/W1966296563","https://openalex.org/W2019291268","https://openalex.org/W2046396733","https://openalex.org/W2057609912","https://openalex.org/W2058297600","https://openalex.org/W2067477904","https://openalex.org/W2093115910","https://openalex.org/W2112512884","https://openalex.org/W2121635534","https://openalex.org/W2128325556","https://openalex.org/W2135189312","https://openalex.org/W2151076144","https://openalex.org/W2176867255","https://openalex.org/W2799990167","https://openalex.org/W3123942473","https://openalex.org/W3125094392","https://openalex.org/W4229984434","https://openalex.org/W4230255049","https://openalex.org/W6652505965","https://openalex.org/W6673755268","https://openalex.org/W6701377487","https://openalex.org/W7019563333","https://openalex.org/W7081434300"],"related_works":["https://openalex.org/W3125265748","https://openalex.org/W2741147126","https://openalex.org/W4301377905","https://openalex.org/W3180712247","https://openalex.org/W2291382242","https://openalex.org/W1985815497","https://openalex.org/W2950198523","https://openalex.org/W2408851247","https://openalex.org/W3121825436","https://openalex.org/W1024407309"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":9},{"year":2023,"cited_by_count":17},{"year":2022,"cited_by_count":9},{"year":2021,"cited_by_count":14},{"year":2020,"cited_by_count":15},{"year":2019,"cited_by_count":20},{"year":2018,"cited_by_count":17},{"year":2017,"cited_by_count":38},{"year":2016,"cited_by_count":18},{"year":2015,"cited_by_count":29},{"year":2014,"cited_by_count":47},{"year":2013,"cited_by_count":23},{"year":2012,"cited_by_count":22}],"updated_date":"2026-04-28T14:05:53.105641","created_date":"2025-10-10T00:00:00"}
