Markov decision processes under model uncertainty
Ariel Neufeld, Julian Sester, Mario Šikić
| Year of publication: |
2023
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|---|---|
| Authors: | Neufeld, Ariel ; Sester, Julian ; Ṥikić, Mario |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 33.2023, 3, p. 618-665
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| Subject: | ambiguity | dynamic programming principle | Markov decision problem | portfolio optimization | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Entscheidung | Decision | Dynamische Optimierung | Dynamic programming | Entscheidung unter Unsicherheit | Decision under uncertainty | Entscheidungstheorie | Decision theory | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12381 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014329899