Jump-diffusion asset-liability management via risk-sensitive control.
Mark H. A. DavisSébastien LleoPublished in: OR Spectr. (2015)
Keyphrases
- risk sensitive
- optimal control
- asset liability management
- control policies
- control system
- utility function
- control strategies
- control strategy
- dynamic programming
- markov decision chains
- data mining
- robot control
- model free
- infinite horizon
- markov decision processes
- optimization problems
- case based reasoning
- reinforcement learning
- artificial intelligence