MDP algorithms for portfolio optimization problems in pure jump markets
Nicole Bäuerle; Ulrich Rieder
| Year of publication: |
2009
|
|---|---|
| Authors: | Bäuerle, Nicole ; Rieder, Ulrich |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 13.2009, 4, p. 591-611
|
| Subject: | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Mathematische Optimierung | Mathematical programming | Algorithmus | Algorithm | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | MDP = Deterministic Markov Processes |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003899534