MDP algorithms for portfolio optimization problems in pure jump markets

DOI10.1007/s00780-009-0093-0zbMath1199.91169OpenAlexW2024680294MaRDI QIDQ964693

Ulrich Rieder, Nicole Bäuerle

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://publikationen.bibliothek.kit.edu/1000032916

zbMATH Keywords

Markov decision processportfolio optimizationapproximation algorithmspiecewise deterministic Markov processesoperator fixed points

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

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