Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Year of publication: |
1999
|
---|---|
Authors: | Bielecki, Tomasz ; Hernández-Hernández, Daniel ; Pliska, Stanley R. |
Published in: |
Mathematical Methods of Operations Research. - Springer. - Vol. 50.1999, 2, p. 167-188
|
Publisher: |
Springer |
Subject: | Risk sensitive Markov decision processes | portfolio optimization | factor modeling |
-
Bielecki, Tomasz, (1999)
-
Modeling risk in a dynamically changing world: from association to causation
Sokolov, Yuri, (2012)
-
Business cycle effects on portfolio credit risk: A simple FX Adjustment for a factor model
Sokolov, Yuri, (2010)
- More ...
-
Bielecki, Tomasz, (1999)
-
Bielecki, Tomasz, (1999)
-
Bielecki, Thomas, (1999)
- More ...