Mean-variance and value at risk in multi-armed bandit problems.
Sattar VakiliQing ZhaoPublished in: Allerton (2015)
Keyphrases
- multi armed bandit problems
- portfolio optimization
- efficient frontier
- risk management
- utility function
- risk aversion
- risk measures
- expected utility
- bandit problems
- high risk
- portfolio selection
- data envelopment analysis
- risk averse
- decision making
- multi objective
- risk analysis
- multiple criteria
- investment strategies
- risk factors
- minimum risk
- risk assessment
- decision makers