1.

Record Nr.

UNINA9910346936403321

Autore

Mundt André Philipp

Titolo

Dynamic risk management with Markov decision processes

Pubbl/distr/stampa

KIT Scientific Publishing, 2008

ISBN

1000007337

Descrizione fisica

1 online resource (XIV, 135 p. p.)

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Sommario/riassunto

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.