Dynamic risk management with Markov decision processes

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...

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Mundt, André Philipp
Year of Publication:2008
Language:English
Physical Description:1 electronic resource (XIV, 135 p. p.)
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spelling Mundt, André Philipp auth
Dynamic risk management with Markov decision processes
KIT Scientific Publishing 2008
1 electronic resource (XIV, 135 p. p.)
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
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.
English
Value at Risk
Risikomanagement
Risikomaß
Stochastischer Prozess
Portfoliooptimierung
3-86644-200-9
language English
format eBook
author Mundt, André Philipp
spellingShingle Mundt, André Philipp
Dynamic risk management with Markov decision processes
author_facet Mundt, André Philipp
author_variant a p m ap apm
author_sort Mundt, André Philipp
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_auth Dynamic risk management with Markov decision processes
title_new Dynamic risk management with Markov decision processes
title_sort dynamic risk management with markov decision processes
publisher KIT Scientific Publishing
publishDate 2008
physical 1 electronic resource (XIV, 135 p. p.)
isbn 1000007337
3-86644-200-9
illustrated Illustrated
work_keys_str_mv AT mundtandrephilipp dynamicriskmanagementwithmarkovdecisionprocesses
status_str n
ids_txt_mv (CKB)4920000000101158
(oapen)https://directory.doabooks.org/handle/20.500.12854/45569
(EXLCZ)994920000000101158
carrierType_str_mv cr
is_hierarchy_title Dynamic risk management with Markov decision processes
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