Explore
Dynamic Risk Management with Markov Decision Processes
André Philipp Mundt
2008
0 Ungluers have
Faved this Work
Login to Fave
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.
This book is included in DOAB.
Why read this book? Have your say.
You must be logged in to comment.
Rights Information
Are you the author or publisher of this work? If so, you can claim it as yours by registering as an Unglue.it rights holder.Downloads
This work has been downloaded 50 times via unglue.it ebook links.
- 50 - pdf (CC BY-NC-ND) at Unglue.it.
Keywords
- Portfoliooptimierung
- Risikomanagement
- Risikomaß
- Stochastischer Prozess
- value at risk
Links
DOI: 10.5445/KSP/1000007337Editions