A unified algorithm framework for mean-variance optimization in discounted Markov decision processes
Shuai Ma, Xiaoteng Ma, Li Xia
| Year of publication: |
2023
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|---|---|
| Authors: | Ma, Shuai ; Ma, Xiaoteng ; Xia, Li |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 311.2023, 3 (16.12.), p. 1057-1067
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| Subject: | Bellman local-optimality equation | Bilevel optimization | Discounted mean-variance | Dynamic programming | Markov decision process | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Markov-Kette | Markov chain | Dynamische Optimierung | Entscheidung | Decision | Portfolio-Management | Portfolio selection | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.06.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014440200