Dynamic CVAR with multi-period risk problems (Q2392648)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Dynamic CVAR with multi-period risk problems |
scientific article; zbMATH DE number 6194190
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Dynamic CVAR with multi-period risk problems |
scientific article; zbMATH DE number 6194190 |
Statements
Dynamic CVAR with multi-period risk problems (English)
0 references
2 August 2013
0 references
\(\alpha\)-conditional value at risk (CVAR)
0 references
optimality equation
0 references
optimal policy
0 references
multi-period risk problems
0 references
multi-period portfolio optimization
0 references
Markov decision processes
0 references
0.8242795467376709
0 references
0.8102559447288513
0 references
0.7963253855705261
0 references
0.7932541966438293
0 references
0.7862639427185059
0 references
