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Partially observable Markov decision processes incorporating epistemic uncertainties
Faffoul, Rafic; Raphael, Wassim; Soubra, A.-H.; … - In: European journal of operational research : EJOR 241 (2015) 2, pp. 391-401
Persistent link: https://www.econbiz.de/10010486878
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Markov decision processes under model uncertainty
Neufeld, Ariel; Sester, Julian; Ṥikić, Mario - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 618-665
Persistent link: https://www.econbiz.de/10014329899
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Finite-horizon Markov population decision chains with constant risk posture
White, Amanda M.; Canbolat, Pelin G. - In: Naval research logistics : an international journal 65 (2018) 8, pp. 580-593
Persistent link: https://www.econbiz.de/10011969351
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A generalized risk budgeting approach to portfolio construction
Haugh, Martin B.; Iyengar, Garud; Song, Irene - In: The journal of computational finance 21 (2017/2018) 2, pp. 29-60
Persistent link: https://www.econbiz.de/10011848310
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Risk-averse stochastic optimal control : An efficiently computable statistical upper bound
Guigues, Vincent; Shapiro, Alexander; Cheng, Yi - In: Operations research letters 51 (2023) 4, pp. 393-400
Persistent link: https://www.econbiz.de/10014426574
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Optimal proportional reinsurance in a bivariate risk model
Gosio, Cristina; Lari, Ester C.; Ravera, Marina - In: Modern economy 6 (2015) 6, pp. 664-671
Persistent link: https://www.econbiz.de/10011384508
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Exact and inexact scheduling algorithms for multiple earth observation satellites under uncertainties of clouds
Wang, Jianjiang; Demeulemeester, Erik; Qiu, Dishan; Liu, Jin - 2015
Persistent link: https://www.econbiz.de/10011290634
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Hidden semi-Markov models for rainfall-related insurance claims
Shi, Yue; Punzo, Antonio; Otneim, Håkon; Maruotti, … - 2023
Persistent link: https://www.econbiz.de/10014431361
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On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15
such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from …
Persistent link: https://www.econbiz.de/10011890772
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Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32
Persistent link: https://www.econbiz.de/10011817885