MDP algorithms for portfolio optimization problems in pure jump markets

Finance and Stochastics

Volumn 13, Issue 4, 2009, Pages 591-611

  Bäuerle, Nicole ^a   Rieder, Ulrich ^b  

^a UNIVERSITY OF KARLSRUHE   (Germany)

^b UNIVERSITY OF ULM   (Germany)

Author keywords

Approximation algorithms; Markov decision process; Operator fixed points; Piecewise deterministic Markov processes; Portfolio optimization

Indexed keywords

EID: 70350645480     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-009-0093-0     Document Type: Article

References (14)

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