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- Risk functional (1)
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The paper focuses on multi-period aspects of risk functionals. It discusses properties,
provides dual representations and offers methods for constructing multiperiod
risk functionals. On the way, existence results and representations for conditional
risk mappings are derived. In particular, conditional, multi-period, and
nested versions of the average value-at-risk are given. Finally, the importance of
polyhedral multi-period risk functionals for their employment in practical dynamic
decision making and risk management is discussed.