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Long run risk sensitive portfolio with general factors.

Marcin PiteraLukasz Stettner
Published in: Math. Methods Oper. Res. (2016)
Keyphrases
  • long run
  • risk sensitive
  • average cost
  • short run
  • expected cost
  • optimal policy
  • decision making
  • special case
  • markov decision processes
  • infinite horizon
  • queueing networks
  • random walk
  • utility function