Risk-Sensitive Asset Management and Cascading Defaults.
John R. BirgeLijun BoAgostino CapponiPublished in: Math. Oper. Res. (2018)
Keyphrases
- risk sensitive
- asset management
- optimal control
- utility function
- markov decision processes
- management system
- model free
- foraging theory
- control policies
- optimality criterion
- geographical information systems
- expected utility
- decision theoretic
- markov decision problems
- markov decision chains
- decision makers
- reinforcement learning
- control strategy
- genetic algorithm