Optimal dynamic risk taking

DOI10.1287/MOOR.2016.0819MaRDI QIDQ5359112zbMATH OpenOpenAlexFDO

Authors A. Subramanian, Baozhong Yang

Publication date 22 September 2017

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.2016.0819

zbMATH Keywords

dynamic project choicesdynamic risk managementstochastic controlstochastic switching

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(4)

• Dynamic mean-risk optimization in a binomial model
• Rational risk valuation given sequential reduction opportunities
• Decomposing risk in an exploitation-exploration problem with endogenous termination time
• Dynamic project selection

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