Markov decision process algorithms for wealth allocation problems with defaultable bonds

DOI10.1017/APR.2016.6zbMath1414.91350OpenAlexW2417197324MaRDI QIDQ5740694

Iker Perez, Huiling Le, David J. Hodge

Publication date: 27 July 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://eprints.nottingham.ac.uk/id/eprint/31020

zbMATH Keywords

Markov decision processportfolio optimizationdefaultable bond

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

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