Heuristic mean-variance optimization in Markov decision processes using state-dependent risk aversion
Rainer Schlosser
| Year of publication: |
2022
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|---|---|
| Authors: | Schlosser, Rainer |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 33.2022, 2, p. 181-199
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| Subject: | isk aversion | mean-variance optimization | Markov decision process | dynamic programming | dynamic pricing | heuristics | Heuristik | Heuristics | Mathematische Optimierung | Mathematical programming | Markov-Kette | Markov chain | Dynamische Optimierung | Dynamic programming | Entscheidung | Decision | Risikoaversion | Risk aversion | Portfolio-Management | Portfolio selection | Entscheidungstheorie | Decision theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpab009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012798765