Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching.
Lijun BoHuafu LiaoXiang YuPublished in: SIAM J. Control. Optim. (2019)
Keyphrases
- portfolio optimization
- risk sensitive
- optimal control
- portfolio selection
- utility function
- markov decision processes
- portfolio management
- problems involving
- model free
- factor analysis
- stock price
- risk management
- financial markets
- optimality criterion
- optimization methods
- stock market
- bi objective
- robust optimization
- decision theoretic
- stock exchange
- markov decision problems
- case based reasoning
- probability distribution
- reinforcement learning
- efficient solutions
- machine learning
- genetic algorithm
- decision making
- expected utility
- data mining
- non stationary
- historical data