Optimal investment for investors with state dependent income, and for insurers.
Christian HippMichael PlumPublished in: Finance Stochastics (2003)
Keyphrases
- state dependent
- steady state
- queueing networks
- optimal policy
- asymptotically optimal
- portfolio management
- stationary distribution
- product form
- arrival rate
- service rates
- investment decisions
- single server
- markov chain
- long run
- queue length
- investment strategies
- dynamic programming
- neural network
- optimal control
- probability distribution
- return on investment
- machine learning
- optimal production