Dynamic risk management with Markov decision processes
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 d...
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| Format: | Book Chapter |
| Published: |
KIT Scientific Publishing
2008
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| Online Access: | Get Fullteks DOAB: description of the publication |
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Get FullteksDOAB: description of the publication
3rd Floor Main Library
| Call Number: |
A1234.567 |
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| Copy 1 | Available |