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Dynamic risk management with Markov decision processes

By:

Mundt, André Philipp [auth]

Material type: Article

ArticleLanguage: English Publication details: KIT Scientific Publishing 2008Description: 1 electronic resource (XIV, 135 p. p.)ISBN:

KSP/1000007337
9783866442009

Subject(s):

Online resources:

Summary: 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.

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Item type	Home library	Collection	Call number	Materials specified	Status	Date due	Barcode
Electronic-Books	OPJGU Sonepat- Campus	E-Books Open Access			Available

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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.

Creative Commons https://creativecommons.org/licenses/by-nc-nd/4.0/ cc https://creativecommons.org/licenses/by-nc-nd/4.0/

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