Risk-sensitive portfolio optimization with completely and partially observed factors.
Lukasz StettnerPublished in: IEEE Trans. Autom. Control. (2004)
Keyphrases
- partially observed
- portfolio optimization
- risk sensitive
- optimal control
- utility function
- portfolio selection
- portfolio management
- problems involving
- factor analysis
- risk management
- stock market
- markov decision processes
- model free
- bi objective
- robust optimization
- optimality criterion
- optimization methods
- stock price
- stock exchange
- markov decision problems
- decision theoretic
- genetic algorithm
- decision support system
- decision makers
- case based reasoning