Dividend based risk measures: A Markov chain approach.

Guglielmo D'Amico Riccardo De Blasis

Published in: Appl. Math. Comput. (2024)

Keyphrases

markov chain
risk measures
steady state
transition probabilities
monte carlo
stationary distribution
state space
markov model
random walk
stochastic process
monte carlo simulation
monte carlo method
risk averse
robust optimization
portfolio optimization
transition matrix
sufficient conditions
genetic algorithm