Sequential binary investment decisions. A Bayesian approach

zbMath0685.90002MaRDI QIDQ1187682

Werner Jammernegg

Publication date: 17 September 1992

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

uncertaintystopping rulerisk aversiondiscount factoroptimal timingoptimal investmentplanning horizonSensitivity analysesbinary dynamic decisiondynamic Bayesian decision modelsDynamic models of investment theoryMonotone transition probabilitiestwo-asset dynamic portfolio

Mathematics Subject Classification ID

Decision theory (91B06) Economic growth models (91B62) Stopping times; optimal stopping problems; gambling theory (60G40) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

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A dynamic allocation rule for the funding of projects and its long-run properties ⋮ Optimal decisions for an insurance contract with experience rating ⋮ A theoretical investigation of randomized asset allocation strategies ⋮ Monotonicity and bounds for convex stochastic control models ⋮ The effect of information in separable Bayesian semi-Markov control models and its application to investment planning ⋮ Information processing in a three-actions dynamic decision model

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