Optimal payout policy in presence of downside risk.

Luis H. R. Alvarez Teppo A. Rakkolainen

Published in: Math. Methods Oper. Res. (2009)

Keyphrases

asymptotically optimal
dynamic programming
expected cost
conditional expectation
risk management
allocation policy
worst case
control policy
scheduling policies
decision makers
risk assessment
risk factors
pareto optimal
optimal design
high risk