Mean-variance problems for finite horizon semi-Markov decision processes
type: Item
instance of: scholarly article
title: Mean-variance problems for finite horizon semi-Markov decision processes
zbMATH Open document ID: 1343.93100
author: Xianping Guo
author: Yonghui Huang
published in: Applied Mathematics and Optimization
publication date: 2015-10-28T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 93C55
Mathematics Subject Classification ID: 49J55
Mathematics Subject Classification ID: 49K45
Mathematics Subject Classification ID: 90C40
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 90C05
zbMATH DE Number: 6499494
zbMATH Keywords: finite horizon semi-Markov decision processes
zbMATH Keywords: mean-variance optimal policy
zbMATH Keywords: dynamic programming
zbMATH Keywords: value iteration
zbMATH Keywords: policy improvement
zbMATH Keywords: linear programming
MaRDI profile type: Publication
full work available at URL: s00245-014-9278-9
OpenAlex ID: W1971843684
cites work: Continuous-time mean-variance portfolio optimization in a jump-diffusion market
cites work: Variance-Penalized Markov Decision Processes
cites work: Markov decision processes with average-value-at-risk criteria
cites work: Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
cites work: Finite-horizon variance penalised Markov decision processes
cites work: Continuous-time Markov decision processes. Theory and applications
cites work: Mean-Variance Criteria for Finite Continuous-Time Markov Decision Processes
cites work: A mean-variance optimization problem for discounted Markov decision processes
cites work: Q4255598
cites work: Sample-Path Optimality and Variance-Minimization of Average Cost Markov Control Processes
cites work: Optimal risk probability for first passage models in semi-Markov decision processes
cites work: Finite horizon semi-Markov decision processes with application to maintenance systems
cites work: Minimum risk probability for finite horizon semi-Markov decision processes
cites work: Mean-variance hedging on uncertain time horizon in a market with a jump
cites work: Markov decision processes with a minimum-variance criterion
cites work: Q4001511
cites work: Successive Approximations for Finite Horizon, Semi-Markov Decision Processes with Application to Asset Liquidation
cites work: Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains
cites work: Q4315289
cites work: Risk-averse dynamic programming for Markov decision processes
cites work: On mean reward variance in semi-Markov processes
cites work: The variance of discounted Markov decision processes
cites work: Mean-Variance Tradeoffs in an Undiscounted MDP
cites work: Multiperiod mean-variance portfolio optimization via market cloning
cites work: On the total reward variance for continuous-time Markov reward chains
cites work: Computational approaches to variance-penalised Markov decision processes
cites work: Optimal time-consistent investment and reinsurance policies for mean-variance insurers
cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework
cites work: Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
cites work: Markov Decision Processes with Variance Minimization: A New Condition and Approach
DOI: 10.1007/S00245-014-9278-9
description: scientific article; zbMATH DE number 6499494