Markov decision process algorithms for wealth allocation problems with defaultable bonds

DOI10.1017/APR.2016.6MaRDI QIDQ5740694zbMATH OpenOpenAlexFDO

Authors Iker Perez, Huiling Le, David J. Hodge

Publication date 27 July 2016

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL http://eprints.nottingham.ac.uk/id/eprint/31020, http://projecteuclid.org/euclid.aap/1465490754

zbMATH Keywords

defaultable bondMarkov decision processportfolio optimization

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

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Cited in

(2)

• The optimal investment, liability and dividends in insurance
• Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle

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