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: | Electronic Book Chapter |
Language: | English |
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KIT Scientific Publishing
2008
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Subjects: | |
Online Access: | DOAB: download the publication DOAB: description of the publication |
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020 | |a KSP/1000007337 | ||
020 | |a 9783866442009 | ||
040 | |a oapen |c oapen | ||
024 | 7 | |a 10.5445/KSP/1000007337 |c doi | |
041 | 0 | |a eng | |
042 | |a dc | ||
100 | 1 | |a Mundt, André Philipp |4 auth | |
245 | 1 | 0 | |a Dynamic risk management with Markov decision processes |
260 | |b KIT Scientific Publishing |c 2008 | ||
300 | |a 1 electronic resource (XIV, 135 p. p.) | ||
336 | |a text |b txt |2 rdacontent | ||
337 | |a computer |b c |2 rdamedia | ||
338 | |a online resource |b cr |2 rdacarrier | ||
506 | 0 | |a Open Access |2 star |f Unrestricted online access | |
520 | |a 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. | ||
540 | |a Creative Commons |f https://creativecommons.org/licenses/by-nc-nd/4.0/ |2 cc |4 https://creativecommons.org/licenses/by-nc-nd/4.0/ | ||
546 | |a English | ||
653 | |a Value at Risk | ||
653 | |a Risikomanagement | ||
653 | |a Risikomaß | ||
653 | |a Stochastischer Prozess | ||
653 | |a Portfoliooptimierung | ||
856 | 4 | 0 | |a www.oapen.org |u https://www.ksp.kit.edu/9783866442009 |7 0 |z DOAB: download the publication |
856 | 4 | 0 | |a www.oapen.org |u https://directory.doabooks.org/handle/20.500.12854/45569 |7 0 |z DOAB: description of the publication |