Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model.
Mark DavisSébastien LleoPublished in: SIAM J. Financial Math. (2011)
Keyphrases
- risk sensitive
- asset management
- optimal control
- utility function
- markov decision processes
- markov decision chains
- model free
- optimality criterion
- management system
- foraging theory
- control policies
- dynamic programming
- geographical information systems
- reinforcement learning
- markov decision problems
- expected utility
- control strategies
- decision theoretic
- optimal policy
- stochastic optimization
- learning algorithm
- probability distribution
- state space
- data management