Dynamic risk management with Markov decision processes

• Main Author: Mundt, André Philipp (auth)
• Format: Electronic Book Chapter
• Language: English
• Published: KIT Scientific Publishing 2008
• Subjects: Value at Risk; Risikomanagement; Risikomaß; Stochastischer Prozess; Portfoliooptimierung
• Online Access: 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...