Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model.
Mark DavisSébastien LleoPublished in: SIAM J. Control. Optim. (2013)
Keyphrases
- risk sensitive
- asset management
- utility function
- optimal control
- model free
- markov decision chains
- foraging theory
- markov decision processes
- geographical information systems
- decision theoretic
- multi objective
- expected utility
- markov decision problems
- efficient optimization
- linear programming
- management system
- state space