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  • Search: subject:"Variance optimality"
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Discrete-time Markov decision chains 1 certainty equivalent 1 connections between risk-sensitive and risk-neutral models 1 exponential utility functions 1 mean-variance optimality 1
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Sladký, Karel 1
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Czech Economic Review 1
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Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes
Sladký, Karel - In: Czech Economic Review 7 (2013) 3, pp. 146-161
In this paper we consider unichain Markov decision processes with finite state space and compact actions spaces where the stream of rewards generated by the Markov processes is evaluated by an exponential utility function with a given risk sensitivity coefficient (so-called risk-sensitive...
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