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André Philipp Mundt

Dynamic risk management with Markov decision processes

AutorMundt, André Philipp

VerlagUniversitätsverlag Karlsruhe, Karlsruhe

ISBN9783866442009

UmfangXIV, 135 S.

Veröffentlicht
am:
16.01.2008

Erscheinungs-
jahr
2008

VerfügbarkeitAktiv

Downloads:

Für Zitate bitte die folgende URL verwenden:
http://dx.doi.org/10.5445/KSP/1000007337

Abstract

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.