Optimal risk control for a large corporation in the presence of returns on investments.

Bjarne Højgaard Michael Taksar

Published in: Finance Stochastics (2001)

Keyphrases

optimal control
conditional expectation
optimal design
optimal solution
control system
control method
control policy
risk management
closed form
process control
control problems
information technology
risk neutral
real time
dynamic programming
investment decisions
expected loss
decision making