Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
From MaRDI portal
Publication:1809495
DOI10.1007/S001860050094zbMATH Open0959.91029OpenAlexW2052626772MaRDI QIDQ1809495FDOQ1809495
Authors: Stanley R. Pliska, Tomasz R. Bielecki, Daniel Hernández-Hernández 
Publication date: 17 May 2000
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860050094
Recommendations
Cited In (38)
- Successive approximations in partially observable controlled Markov chains with risk-sensitive average criterion
- Markov decision processes under risk sensitivity: a discount vanishing approach
- Process-based risk measures and risk-averse control of discrete-time systems
- Denumerable Markov stopping games with risk-sensitive total reward criterion.
- Ergodic risk-sensitive control of Markov processes on countable state space revisited
- Time-inconsistent risk-sensitive equilibrium for countable-stated Markov decision processes
- Title not available (Why is that?)
- Growth rates and average optimality in risk-sensitive Markov decision chains
- A variational formula for risk-sensitive reward
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Multi-period optimization portfolio with bankruptcy control in stochastic market
- Portfolio management under drawdown constraint in discrete-time financial markets
- Nonstationary value iteration in controlled Markov chains with risk-sensitive average criterion
- An alternative derivation of Birkhoff's formula for the contraction coefficient of a positive matrix.
- Nash equilibria in a class of Markov stopping games with total reward criterion
- Portfolio selection in stochastic markets with HARA utility functions
- Title not available (Why is that?)
- An optimal investment and consumption model with stochastic returns
- Mean-variance problems for finite horizon semi-Markov decision processes
- A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains
- Portfolio optimization in stochastic markets
- An optimal investment model with Markov-driven volatilities
- Portfolio selection in stochastic markets with exponential utility functions
- Mixed risk-neutral/minimax control of discrete-time, finite-state Markov decision processes
- ``Controlled versions of the Collatz-Wielandt and Donsker-Varadhan formulae
- Local Poisson equations associated with discrete-time Markov control processes
- Computational methods for risk-averse undiscounted transient Markov models
- Exact and approximate Nash equilibria in discounted Markov stopping games with terminal redemption
- Title not available (Why is that?)
- Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
- A sensitivity formula for risk-sensitive cost and the actor-critic algorithm
- Average optimality for risk-sensitive control with general state space
- Discrete time portfolio managing
- Markov decision processes with risk-sensitive criteria: an overview
- Markov risk mappings and risk-sensitive optimal prediction
- Ergodicity of hidden Markov models
- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
- Risk-sensitive discounted Markov decision processes with unbounded reward functions and Borel spaces
This page was built for publication: Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1809495)
