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 |
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