Syndetics omslagsbild
Bild från Syndetics

Dynamic risk management with Markov decision processes

Av: Medverkande: Materialtyp: ArtikelUtgivningsinformation: KIT Scientific Publishing 2008Beskrivning: 1 electronic resource (XIV, 135 p. p.)Innehållstyp:
  • text
Medietyp:
  • computer
Bärartyp:
  • online resource
ISBN:
  • 9783866442009
Ämnen: Onlineresurser: Sammanfattning: An important tool in risk management is the implementation of risk measures. We study dynamic models where risk measures and dynamic risk measures can be applied. In particular, we solve various portfolio optimization problems and introduce a class of dynamic risk measures via the notion of Markov decision processes. Using Bayesian control theory we furthermore derive an extension of the latter setting when we face model uncertainty.
Inga fysiska exemplar för denna post

Open Access Unrestricted online access star

An important tool in risk management is the implementation of risk measures. We study dynamic models where risk measures and dynamic risk measures can be applied. In particular, we solve various portfolio optimization problems and introduce a class of dynamic risk measures via the notion of Markov decision processes. Using Bayesian control theory we furthermore derive an extension of the latter setting when we face model uncertainty.

Creative Commons Licence cc by-nc-nd cc https://creativecommons.org/licenses/by-nc-nd/4.0/

eng

Freely available e-book