MDP algorithms for portfolio optimization problems in pure jump markets

DOI10.1007/s00780-009-0093-0zbMath1199.91169MaRDI QIDQ964693

Nicole Bäuerle, Ulrich Rieder

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

zbMATH Keywords

Markov decision process; portfolio optimization; approximation algorithms; piecewise deterministic Markov processes; operator fixed points

Mathematics Subject Classification ID

90C39: Dynamic programming

93E20: Optimal stochastic control

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

91G10: Portfolio theory

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