Bei der Zuger Firma Rothsinvest sind kürzlich Verwaltungsräte vom Ex-Firmenchef mit dunklen Geschäften hinters Licht geführt worden. Wie gut sind Verwaltungsräte generell informiert?
Coherent risk measures play an important role in building and solving optimization models for decision problems under uncertainty. We consider an extension to multiple time periods, where a risk-adjusted value for a stochastic process is recursively defined over the time steps, which ensures time consistency. A prominent example of a single-period coherent risk measure that is widely used in applications is Conditional-Value-at-Risk (CVaR). We show that a recursive calculation of CVaR leads to stochastic linear programming formulations. For the special case of the risk-adjusted value of a random variable at the time horizon, a lower bound is given. The possible integration of the risk-adjusted value into multi-stage mean-risk optimization problems is outlined.
