Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach.
Kiyoshi SuzukiPublished in: Math. Oper. Res. (2021)
Keyphrases
- infinite horizon
- optimal control
- finite horizon
- risk aversion
- inventory policy
- optimal solution
- stochastic demand
- dynamic programming
- risk neutral
- optimal policy
- average cost
- long run
- fixed cost
- markov decision processes
- production planning
- inventory level
- utility function
- risk averse
- inventory models
- objective function
- learning algorithm
- expected cost
- cost function
- data mining
- lost sales
- mathematical model