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Dynamic risk management with Markov decision processes

By: Contributor(s): Material type: ArticlePublication details: KIT Scientific Publishing 2008Description: 1 electronic resource (XIV, 135 p. p.)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9783866442009
Subject(s): Online resources: Summary: 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.
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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

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