Dynamic risk management with Markov decision processes

• मुख्य लेखक: Mundt, André Philipp (auth)
• स्वरूप: इलेक्ट्रोनिक पुस्तक अध्याय
• भाषा: अंग्रेज़ी
• प्रकाशित: KIT Scientific Publishing 2008
• विषय: Value at Risk; Risikomanagement; Risikomaß; Stochastischer Prozess; Portfoliooptimierung
• ऑनलाइन पहुंच: DOAB: download the publication; DOAB: description of the publication

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...