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

DOI10.1007/s10100-022-00834-0OpenAlexW4312006216MaRDI QIDQ6090368

Kerem Uğurlu, Tomasz Brzęczek

Publication date: 14 November 2023

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-022-00834-0

zbMATH Keywords

dynamic programmingMarkov decision processesmathematical financerisk managementprobability distortion

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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