Risk-Averse Optimal Control in Continuous Time by Nesting Risk Measures.

Alois Pichler Ruben Schlotter

Published in: Math. Oper. Res. (2023)

Keyphrases

risk measures
optimal control
risk averse
utility function
stochastic programming
decision makers
optimal control problems
dynamic programming
control strategy
portfolio management
risk sensitive
infinite horizon
reinforcement learning
expected utility
multistage
decision making
cost function
genetic algorithm