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  • Search: subject:"Bellman's principle"
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Year of publication
Subject
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Bellman principle 5 Theorie 4 Theory 3 changepoint problem 3 segmented regressions 3 structural change 3 Bellman's principle 2 Dynamic programming 2 Dynamische Optimierung 2 Mathematical programming 2 Mathematische Optimierung 2 Optimal portfolios 2 Portfolio selection 2 Portfolio-Management 2 R 2 S 2 Statistischer Test 2 Strukturbruch 2 Zeitreihenanalyse 2 changing market coefficients 2 crash modelling 2 dynamic programming 2 equilibrium strategies 2 worst-case scenario 2 Algorithm 1 Algorithmus 1 Bellman's functional equation 1 Bellman's principle of optimality 1 Comparison principle 1 Dynamic programming principle 1 Eigeninteresse 1 Erwartungsnutzen 1 Expected utility 1 Expected utility maximization problem 1 Hamilton-Jacobi-Bellman equation 1 Optimal strategy 1 Pontryagin's maximum principle 1 Price impact 1 Self-interest 1 Statistical test 1
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Online availability
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Free 4 Undetermined 4
Type of publication
All
Article 5 Book / Working Paper 3
Type of publication (narrower categories)
All
Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
All
English 4 Undetermined 4
Author
All
Hornik, Kurt 3 Kleiber, Christian 3 Krämer, Walter 3 Zeileis, Achim 3 Korn, Ralf 2 Menkens, Olaf 2 Chernyshov Sergey I. 1 Kováčová, Gabriela 1 Lazgham, Mourad 1 Rudloff, Birgit 1
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Institution
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Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1
Published in...
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Business Inform 1 Computational Statistics 1 Mathematical Methods of Operations Research 1 Mathematical methods of operations research 1 Operations research 1 Technical Report 1 Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 1
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Source
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RePEc 4 ECONIS (ZBW) 3 EconStor 1
Showing 1 - 8 of 8
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Time consistency of the mean-risk problem
Kováčová, Gabriela; Rudloff, Birgit - In: Operations research 69 (2021) 4, pp. 1100-1117
Persistent link: https://www.econbiz.de/10012625134
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On Use of the Method of Dynamic Programming of Bellman in Economic Tasks
Chernyshov Sergey I. - In: Business Inform (2013) 6, pp. 110-119
. MDP ids based on the Bellman's principle of optimality, which could be characterised as purely ingenious. This is an …
Persistent link: https://www.econbiz.de/10010687757
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Regularity properties in a state-constrained expected utility maximization problem
Lazgham, Mourad - In: Mathematical methods of operations research 88 (2018) 2, pp. 185-240
Persistent link: https://www.econbiz.de/10011935660
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Testing and dating of structural changes in practice
Zeileis, Achim; Kleiber, Christian; Krämer, Walter; … - 2002
The paper presents an approach to the analysis of data that contains (multiple) structural changes in a linear regression setup. We implement various strategies which have been suggested in the literature for testing against structural changes as well as a dynamic programming algorithm for the...
Persistent link: https://www.econbiz.de/10010316542
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Testing and dating of structural changes in practice
Zeileis, Achim; Kleiber, Christian; Krämer, Walter; … - Institut für Wirtschafts- und Sozialstatistik, … - 2002
The paper presents an approach to the analysis of data that contains (multiple) structural changes in a linear regression setup. We implement various strategies which have been suggested in the literature for testing against structural changes as well as a dynamic programming algorithm for the...
Persistent link: https://www.econbiz.de/10010982402
Saved in:
Cover Image
Testing and dating of structural changes in practice
Zeileis, Achim; Kleiber, Christian; Krämer, Walter; … - 2002
The paper presents an approach to the analysis of data that contains (multiple) structural changes in a linear regression setup. We implement various strategies which have been suggested in the literature for testing against structural changes as well as a dynamic programming algorithm for the...
Persistent link: https://www.econbiz.de/10009770910
Saved in:
Cover Image
Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach
Korn, Ralf; Menkens, Olaf - In: Computational Statistics 62 (2005) 1, pp. 123-140
non-linear differential equations which itself are consequences of a Bellman principle for worst-case bounds. A particular …
Persistent link: https://www.econbiz.de/10010847611
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Cover Image
Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach
Korn, Ralf; Menkens, Olaf - In: Mathematical Methods of Operations Research 62 (2005) 1, pp. 123-140
non-linear differential equations which itself are consequences of a Bellman principle for worst-case bounds. A particular …
Persistent link: https://www.econbiz.de/10010950036
Saved in:
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