Optimal risk control and dividend distribution for a financial corporation with policy constraints.
Tahir ChoulliMichael TaksarXun Yu ZhouPublished in: CDC (2001)
Keyphrases
- control policy
- optimal control
- risk management
- control system
- asymptotically optimal
- stochastic control
- control policies
- expected cost
- conditional expectation
- risk assessment
- stock price
- portfolio optimization
- state dependent
- control problems
- risk analysis
- risk neutral
- constrained optimization
- decision making
- financial risk
- expected loss
- allocation policy
- infinite horizon
- control method
- optimal policy
- risk averse
- risk factors
- stock market
- decision support system
- chance constraints
- reinforcement learning