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On the simulation of portfolios of interest rate and credit risk sensitive securities.

Norbert J. JobstStavros A. Zenios
Published in: Eur. J. Oper. Res. (2005)
Keyphrases
  • risk sensitive
  • optimal control
  • markov decision processes
  • fraud detection
  • optimality criterion
  • markov decision chains
  • linear programming
  • function approximation
  • decision theoretic