MDP algorithms for portfolio optimization problems in pure jump markets
| Year of publication: |
2009
|
|---|---|
| Authors: | Bäuerle, Nicole ; Rieder, Ulrich |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 4, p. 591-611
|
| Publisher: |
Springer |
| Subject: | Portfolio optimization | Piecewise deterministic Markov processes | Markov decision process | Operator fixed points | Approximation algorithms |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005061371