EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Markov decision problem"
Narrow search

Narrow search

Year of publication
Subject
All
Consumption-investment problem 1 Markov decision problem 1 discrete-time approximation 1 dynamic risk measure 1 stochastic optimal control 1
Online availability
All
Free 1
Type of publication
All
Article 1
Language
All
Undetermined 1
Author
All
Redeker, Imke 1 Wunderlich, Ralf 1
Published in...
All
Statistics & Risk Modeling 1
Source
All
Other ZBW resources 1
Showing 1 - 1 of 1
Cover Image
Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading
Redeker, Imke; Wunderlich, Ralf - In: Statistics & Risk Modeling 35 (2018) 1-2, pp. 1-21
Abstract We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk measure. For continuous- and discrete-time financial...
Persistent link: https://www.econbiz.de/10014621259
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...