LEADER 01516nam  2200361z- 450 
001 9910346936403321
005 20210211
010   $a1000007337
035   $a(CKB)4920000000101158
035   $a(oapen)https://directory.doabooks.org/handle/20.500.12854/45569
035   $a(oapen)doab45569
035   $a(EXLCZ)994920000000101158
100   $a20202102d2008      u|         0
101 0 $aeng
135   $aurmn|---annan
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 00$aDynamic risk management with Markov decision processes
210   $cKIT Scientific Publishing$d2008
215   $a1 online resource (XIV, 135 p. p.)
311 08$a3-86644-200-9 
330   $aAn 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.
610   $aPortfoliooptimierung
610   $aRisikomanagement
610   $aRisikomaß
610   $aStochastischer Prozess
610   $aValue at Risk
700   $aMundt$b André Philipp$4auth$01312677
906   $aBOOK
912   $a9910346936403321
996   $aDynamic risk management with Markov decision processes$93030904
997   $aUNINA