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Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis
A robust optimal control of discrete time Markov chains with finite terminal T and bounded costs or wealth using probability distortion is studied. The time inconsistency of these distortion operators and hence its lack of dynamic programming are discussed. Due to that, dynamic versions of these ope...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9734642/ https://www.ncbi.nlm.nih.gov/pubmed/36531521 http://dx.doi.org/10.1007/s10100-022-00834-0 |