Optimal Consumption and Sale Strategies for a Risk Averse Agent.

David Hobson Ye-Qi Zhu

Published in: SIAM J. Financial Math. (2016)

Keyphrases

risk neutral
risk averse
optimal strategy
risk aversion
dynamic programming
utility function
decision making
decision makers
multi agent
multi agent systems
optimal solution
stochastic programming
online auctions
decision theoretic