Dynamic risk management with Markov decision processes
An important tool in risk management is the implementation of risk measures. We study dynamic models where risk measures and dynamic risk measures can be applied. In particular, we solve various portfolio optimization problems and introduce a class of dynamic risk measures via the notion of Markov d...
I tiakina i:
| Kaituhi matua: | |
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| Hōputu: | Online |
| Reo: | Ingarihi |
| I whakaputaina: |
KIT Scientific Publishing
2021
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| Ngā marau: | |
| Urunga tuihono: | 35116 |
| Ngā Tūtohu: |
Kāore He Tūtohu, Me noho koe te mea tuatahi ki te tūtohu i tēnei pūkete!
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| _version_ | 1869531475964067840 |
|---|---|
| author | Mundt, André Philipp |
| author_browse | Mundt, André Philipp |
| author_facet | Mundt, André Philipp |
| author_sort | Mundt, André Philipp |
| collection | Directory of Open Access Books |
| description | An important tool in risk management is the implementation of risk measures. We study dynamic models where risk measures and dynamic risk measures can be applied. In particular, we solve various portfolio optimization problems and introduce a class of dynamic risk measures via the notion of Markov decision processes. Using Bayesian control theory we furthermore derive an extension of the latter setting when we face model uncertainty. |
| format | Online |
| id | doab-20.500.12854ir-45569 |
| institution | Directory of Open Access Books |
| language | eng |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | KIT Scientific Publishing |
| publisherStr | KIT Scientific Publishing |
| record_format | ojs |
| spelling | doab-20.500.12854ir-455692023-12-20T18:40:38Z Dynamic risk management with Markov decision processes Mundt, André Philipp QA1-939 Value at Risk Risikomanagement Risikomaß Stochastischer Prozess Portfoliooptimierung bic Book Industry Communication::P Mathematics & science An important tool in risk management is the implementation of risk measures. We study dynamic models where risk measures and dynamic risk measures can be applied. In particular, we solve various portfolio optimization problems and introduce a class of dynamic risk measures via the notion of Markov decision processes. Using Bayesian control theory we furthermore derive an extension of the latter setting when we face model uncertainty. 2021-02-11T11:51:09Z 2021-02-11T11:51:09Z 2019-07-30 20:02:00 2008 book 35116 9783866442009 https://directory.doabooks.org/handle/20.500.12854/45569 eng image/jpeg Attribution-NonCommercial-NoDerivatives 4.0 International https://www.ksp.kit.edu/9783866442009 KIT Scientific Publishing 10.5445/KSP/1000007337 10.5445/KSP/1000007337 68fffc18-8f7b-44fa-ac7e-0b7d7d979bd2 9783866442009 XIV, 135 p. open access |
| spellingShingle | QA1-939 Value at Risk Risikomanagement Risikomaß Stochastischer Prozess Portfoliooptimierung bic Book Industry Communication::P Mathematics & science Mundt, André Philipp Dynamic risk management with Markov decision processes |
| title | Dynamic risk management with Markov decision processes |
| title_full | Dynamic risk management with Markov decision processes |
| title_fullStr | Dynamic risk management with Markov decision processes |
| title_full_unstemmed | Dynamic risk management with Markov decision processes |
| title_short | Dynamic risk management with Markov decision processes |
| title_sort | dynamic risk management with markov decision processes |
| topic | QA1-939 Value at Risk Risikomanagement Risikomaß Stochastischer Prozess Portfoliooptimierung bic Book Industry Communication::P Mathematics & science |
| topic_facet | QA1-939 Value at Risk Risikomanagement Risikomaß Stochastischer Prozess Portfoliooptimierung bic Book Industry Communication::P Mathematics & science |
| url | 35116 |
| work_keys_str_mv | AT mundtandrephilipp dynamicriskmanagementwithmarkovdecisionprocesses |