Dynamic risk management with Markov decision processes

• Главный автор: Mundt, André Philipp (auth)
• Формат: Электронный ресурс Глава книги
• Язык: английский
• Опубликовано: KIT Scientific Publishing 2008
• Предметы: Value at Risk; Risikomanagement; Risikomaß; Stochastischer Prozess; Portfoliooptimierung
• Online-ссылка: 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...