MDP algorithms for portfolio optimization problems in
- 作者Nicole Bäuerle; Ulrich Rieder
- 卷第13卷
- 期第4期
- 印刷ISSN0949-2984
- 电子ISSN1432-1122
- 文件大小446.15KB
- 发表时间2009-09
- DOI10.1007/s00780-009-0093-0
- 页码591-611
EditorialA.N. Shiryaev; S.E. Shreve; D. Sondermann · Finance and Stochastics · 2001
Implied savings accounts are uniqueFrank Döberlein; Martin Schweizer; Christophe Stricker · Finance and Stochastics · 2000
Game optionsYuri Kifer · Finance and Stochastics · 2000
The relaxed investor and parameter uncertaintyL.C.G. Rogers · Finance and Stochastics · 2001
Arbitrage and investment opportunitiesElyès Jouini; Clotilde Napp · Finance and Stochastics · 2001
Some calculations for Israeli optionsAndreasE. Kyprianou · Finance and Stochastics · 2004
Large portfolio lossesAmir Dembo; Jean-Dominique Deuschel; Darrell Duffie · Finance and Stochastics · 2004
EditorialFreddy Delbaen; Paul Embrechts; Hans Föllmer; Yuri Kabanov; Steven Shreve · Finance and Stochastics · 2004