
Dynamic risk management with Markov decision processes
Title:
Dynamic risk management with Markov decision processes
Author:
Mundt, André Philipp
ISBN:
9781000007336
9783866442009
Personal Author:
Publication Information:
KIT Scientific Publishing 2008
Physical Description:
1 electronic resource (XIV, 135 p. p.)
Abstract:
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.