On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management.
Amogh DeshpandePublished in: J. Appl. Probab. (2015)
Keyphrases
- risk sensitive
- optimal control
- asset management
- utility function
- control policies
- control system
- reinforcement learning
- markov decision processes
- control strategies
- genetic algorithm
- linear programming
- change detection
- control strategy
- model free
- control policy
- management system
- average cost
- dynamic programming
- multi agent