Risk sensitive asset management with transaction costs.
Tomasz R. BieleckiStanley R. PliskaPublished in: Finance Stochastics (2000)
Keyphrases
- risk sensitive
- transaction costs
- asset management
- optimal control
- utility function
- markov decision processes
- management system
- portfolio management
- model free
- decision theoretic
- control policies
- expected utility
- geographical information systems
- stock exchange
- optimality criterion
- markov decision problems
- portfolio selection
- efficient optimization
- average cost
- markov chain
- learning algorithm
- control strategy
- optimal policy
- state space