Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis (Q6090368): Difference between revisions

Latest revision as of 14:30, 3 August 2024

scientific article; zbMATH DE number 7764875

Language	Label	Description	Also known as
English	Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis	scientific article; zbMATH DE number 7764875

Statements

instance of

scholarly article

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title

Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis (English)

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CEJOR. Central European Journal of Operations Research

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publication date

14 November 2023

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zbMATH Keywords

probability distortion

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Markov decision processes

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dynamic programming

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risk management

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mathematical finance

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10100-022-00834-0

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cites work

Coherent Measures of Risk

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Coherent multiperiod risk adjusted values and Bellman's principle

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Downside risk in multiperiod tracking error models

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On the Theory of Dynamic Programming

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On time-inconsistent stochastic control in continuous time

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On relations between DEA-risk models and stochastic dominance efficiency tests

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Dynamic monetary risk measures for bounded discrete-time processes

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Discounted MDP’s: Distribution Functions and Exponential Utility Maximization

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Polyhedral Risk Measures in Stochastic Programming

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Value investor anomaly: return enhancement by portfolio replication -- an empiric portfolio strategy analysis

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Optimal long term growth rate of expected utility of wealth

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Risk-Sensitive Control and an Optimal Investment Model

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Black swans and white eagles: On mathematics and finance

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Convex risk measures and the dynamics of their penalty functions

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Q3526970

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PORTFOLIO CHOICE VIA QUANTILES

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Adaptive Markov control processes

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Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming

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Markov decision processes with a new optimality criterion: Discrete time

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A Utility Criterion for Markov Decision Processes

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Prospect Theory: An Analysis of Decision under Risk

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Advances in prospect theory: cumulative representation of uncertainty

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Stability advances in robust portfolio optimization under parallelepiped uncertainty

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Probabilistically distorted risk-sensitive infinite-horizon dynamic programming

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A classification problem of credit risk rating investigated and solved by optimisation of the ROC curve

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Time-Consistent Conditional Expectation Under Probability Distortion

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Measurable selection theorems for optimization problems

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Risk-averse dynamic programming for Markov decision processes

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Prospect Theory

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Q3096736

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Identifiers

DOI

10.1007/s10100-022-00834-0

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6090368

@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent multiperiod risk adjusted values and Bellman's principle
+Normal rank
@@ Property / cites work @@
+Downside risk in multiperiod tracking error models
+Normal rank
@@ Property / cites work @@
+On the Theory of Dynamic Programming
@@ Property / cites work: On the Theory of Dynamic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+On time-inconsistent stochastic control in continuous time
+Normal rank
@@ Property / cites work @@
+On relations between DEA-risk models and stochastic dominance efficiency tests
+Normal rank
@@ Property / cites work @@
+Dynamic monetary risk measures for bounded discrete-time processes
+Normal rank
@@ Property / cites work @@
+Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
+Normal rank
@@ Property / cites work @@
+Polyhedral Risk Measures in Stochastic Programming
+Normal rank
@@ Property / cites work @@
+Value investor anomaly: return enhancement by portfolio replication -- an empiric portfolio strategy analysis
+Normal rank
@@ Property / cites work @@
+Optimal long term growth rate of expected utility of wealth
+Normal rank
@@ Property / cites work @@
+Risk-Sensitive Control and an Optimal Investment Model
+Normal rank
@@ Property / cites work @@
+Black swans and white eagles: On mathematics and finance
+Normal rank
@@ Property / cites work @@
+Convex risk measures and the dynamics of their penalty functions
+Normal rank
@@ Property / cites work @@
+Q3526970
@@ Property / cites work: Q3526970 / rank @@
+Normal rank
@@ Property / cites work @@
+PORTFOLIO CHOICE VIA QUANTILES
@@ Property / cites work: PORTFOLIO CHOICE VIA QUANTILES / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive Markov control processes
@@ Property / cites work: Adaptive Markov control processes / rank @@
+Normal rank
@@ Property / cites work @@
+Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming
+Normal rank
@@ Property / cites work @@
+Markov decision processes with a new optimality criterion: Discrete time
+Normal rank
@@ Property / cites work @@
+A Utility Criterion for Markov Decision Processes
@@ Property / cites work: A Utility Criterion for Markov Decision Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Prospect Theory: An Analysis of Decision under Risk
+Normal rank
@@ Property / cites work @@
+Advances in prospect theory: cumulative representation of uncertainty
+Normal rank
@@ Property / cites work @@
+Stability advances in robust portfolio optimization under parallelepiped uncertainty
+Normal rank
@@ Property / cites work @@
+Probabilistically distorted risk-sensitive infinite-horizon dynamic programming
+Normal rank
@@ Property / cites work @@
+A classification problem of credit risk rating investigated and solved by optimisation of the ROC curve
+Normal rank
@@ Property / cites work @@
+Time-Consistent Conditional Expectation Under Probability Distortion
+Normal rank
@@ Property / cites work @@
+Measurable selection theorems for optimization problems
+Normal rank
@@ Property / cites work @@
+Risk-averse dynamic programming for Markov decision processes
+Normal rank
@@ Property / cites work @@
+Prospect Theory
@@ Property / cites work: Prospect Theory / rank @@
+Normal rank
@@ Property / cites work @@
+Q3096736
@@ Property / cites work: Q3096736 / rank @@
+Normal rank