MDP algorithms for portfolio optimization problems in pure jump markets
From MaRDI portal
Publication:964693
DOI10.1007/s00780-009-0093-0zbMath1199.91169MaRDI QIDQ964693
Publication date: 22 April 2010
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://publikationen.bibliothek.kit.edu/1000032916
Markov decision process; portfolio optimization; approximation algorithms; piecewise deterministic Markov processes; operator fixed points
90C39: Dynamic programming
93E20: Optimal stochastic control
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
91G10: Portfolio theory
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