Random variables that stand for cost, loss or damage must be confronted in numerous
situations. Dealing with them systematically for purposes in risk management, optimization …

This is a substantial revision of the previous edition with added new material. The
presentation of Chapter 6 is updated. In particular the Interchangeability Principle for risk …

The topic of this book is multistage stochastic optimization. Multistage reflects the fact that an
optimal decision is an entire strategy or policy, which is executed during subsequent instants …

Chance-constrained programming (CCP) is one of the most difficult classes of optimization
problems that has attracted the attention of researchers since the 1950s. In this survey, we …

The theory of Markov decision processes focuses on controlled Markov chains in discrete
time. The authors establish the theory for general state and action spaces and at the same …

This book gives an introduction to basic concepts and methods in mathematical risk
analysis, in particular to those parts of risk theory which are of particular relevance in finance …

We introduce the concept of a Markov risk measure and we use it to formulate risk-averse
control problems for two Markov decision models: a finite horizon model and a discounted …

Ensuring that classifiers are non-discriminatory or fair with respect to a sensitive feature (eg,
race or gender) is a topical problem. Progress in this task requires fixing a definition of …

Expectiles (EVaR) are a one-parameter family of coherent risk measures that have been
recently suggested as an alternative to quantiles (VaR) and to expected shortfall (ES). In this …

The 1/N investment strategy, ie the strategy to split one's wealth uniformly between the
available investment possibilities, recently received plenty of attention in the literature. In this …