Markov Decision Processes with Coherent Risk Measures: Risk Aversity in Asset Management.
Yuji YoshidaPublished in: CogSIMA (2019)
Keyphrases
- risk measures
- markov decision processes
- asset management
- transition matrices
- optimal policy
- risk averse
- policy iteration
- state space
- dynamic programming
- reinforcement learning
- decision theoretic planning
- average cost
- management system
- infinite horizon
- portfolio optimization
- geographical information systems
- robust optimization
- risk sensitive
- average reward
- least squares