Risk-sensitive and mean variance optimality in Markov decision processes
Karel Sladký
| Year of publication: |
2013
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|---|---|
| Authors: | Sladký, Karel |
| Published in: |
Czech economic review : acta Universitatis Carolinae oeconomica. - Prague : [Verlag nicht ermittelbar], ISSN 1802-4696, ZDB-ID 2710543-X. - Vol. 7.2013, 3, p. 146-161
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| Subject: | Discrete-time Markov decision chains | exponential utility functions | certainty equivalent | mean-variance optimality | connections between risk-sensitive and risk-neutral models | Markov-Kette | Markov chain | Theorie | Theory | Nutzenfunktion | Utility function | Portfolio-Management | Portfolio selection | Entscheidung | Decision | Stochastischer Prozess | Stochastic process | Risikoaversion | Risk aversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010341117