Title: Robust Dynamic Risk Measures
Speaker: Dimitra Bampou
Affiliation: Imperial College London
Location: Room 218 Huxley Building
Time: 3:00pm

Abstract. Recent progress in the theory of dynamic risk measures has found a strong echo in stochastic programming, where the time consistency of dynamic decision making under uncertainty is currently under scrutiny. In this talk we first review the concepts of coherence and time consistency of dynamic risk measures and then discuss their ramifications for stochastic programming. Next, we extend these concepts to stochastic programming models subject to distributional ambiguity, which motivates us to introduce robust dynamic risk measures. We discuss conditions under which these robust risk measures inherit coherence and time consistency from their nominal counterparts. We also propose an approximation scheme based on polynomial decision rules for solving linear multistage stochastic programs involving robust dynamic risk measures. The theoretical concepts are illustrated through numerical examples in the context of inventory management.

About the speaker.