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Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis - MaRDI portal

Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis (Q6090368)

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scientific article; zbMATH DE number 7764875
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English
Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis
scientific article; zbMATH DE number 7764875

    Statements

    title
    Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis (English)
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    author
    Kerem Uğurlu
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    Tomasz Brzęczek
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    publication date
    14 November 2023
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    zbMATH Keywords
    probability distortion
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    Markov decision processes
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    dynamic programming
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    risk management
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    mathematical finance
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    cites work
    Q3526970
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    Prospect Theory
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    Q3096736
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    Identifiers

    zbMATH DE Number
    7764875
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    OpenAlex ID
    W4312006216
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