01516nam 2200361z- 450 9910346936403321202102111000007337(CKB)4920000000101158(oapen)https://directory.doabooks.org/handle/20.500.12854/45569(oapen)doab45569(EXLCZ)99492000000010115820202102d2008 u| 0engurmn|---annantxtrdacontentcrdamediacrrdacarrierDynamic risk management with Markov decision processesKIT Scientific Publishing20081 online resource (XIV, 135 p. p.)3-86644-200-9 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.PortfoliooptimierungRisikomanagementRisikomaßStochastischer ProzessValue at RiskMundt André Philippauth1312677BOOK9910346936403321Dynamic risk management with Markov decision processes3030904UNINA