Dynamic risk management with Markov decision processes - Brossura

Mundt, André Philipp

Brossura

ISBN 10: 3866442009 ISBN 13: 9783866442009

Casa editrice: KIT Scientific Publishing, 2008

Riassunto

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.

Dettagli dell'edizione

• Editore: KIT Scientific Publishing
• Data di pubblicazione: 2008
• Lingua: Inglese
• ISBN 10: 3866442009
• ISBN 13: 9783866442009
• Rilegatura: Copertina flessibile
• Numero di pagine: 150
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile