An important tool in risk management is the implementation of risk measures. We study dynamic models where risk measures and dynamic risk measures can be applied. In particular, we solve various portfolio optimization problems and introduce a class of dynamic risk measures via the notion of Markov decision processes. Using Bayesian control theory we furthermore derive an extension of the latter setting when we face model uncertainty
In this paper, we introduce a High-order Markov-Switching (HMS) model for measuring the risk of a po...
We consider the dilemma of taking sequential action within a nebulous and costly stochastic system. ...
Risk management in this paper is focused on multivariate risk-return decision making assuming time-v...
An important tool in risk management is the implementation of risk measures. We study dynamic models...
In this paper we consider an explicit dynamic risk measure for discrete-time payment processes which...
In this thesis, we develop theoretical foundations of the theory of dynamic risk measures for contro...
We consider finite-horizon Markov Decision Processes where distributional parameters, such as transi...
This paper proposes markovian models in portfolio theory and risk management. In a first analysis, w...
In this dissertation, we provide a theory of time-consistent dynamic risk measures for partially obs...
Stochastic sequential decision-making problems are generally modeled and solved as Markov decision p...
In this chapter we propose portfolio selection strategies using the assumption that the portfolio re...
Under suitable conditions, the Kusuoka representation of law invariant coherent risk measures allows...
Risk management in this paper is focused on multivariate risk-return decision making assuming time-v...
This chapter is devoted to the dynamic risk management of the investment portfolio using future cont...
This work analyzes an optimal control problem for which the performance is measured by a dynamic ri...
In this paper, we introduce a High-order Markov-Switching (HMS) model for measuring the risk of a po...
We consider the dilemma of taking sequential action within a nebulous and costly stochastic system. ...
Risk management in this paper is focused on multivariate risk-return decision making assuming time-v...
An important tool in risk management is the implementation of risk measures. We study dynamic models...
In this paper we consider an explicit dynamic risk measure for discrete-time payment processes which...
In this thesis, we develop theoretical foundations of the theory of dynamic risk measures for contro...
We consider finite-horizon Markov Decision Processes where distributional parameters, such as transi...
This paper proposes markovian models in portfolio theory and risk management. In a first analysis, w...
In this dissertation, we provide a theory of time-consistent dynamic risk measures for partially obs...
Stochastic sequential decision-making problems are generally modeled and solved as Markov decision p...
In this chapter we propose portfolio selection strategies using the assumption that the portfolio re...
Under suitable conditions, the Kusuoka representation of law invariant coherent risk measures allows...
Risk management in this paper is focused on multivariate risk-return decision making assuming time-v...
This chapter is devoted to the dynamic risk management of the investment portfolio using future cont...
This work analyzes an optimal control problem for which the performance is measured by a dynamic ri...
In this paper, we introduce a High-order Markov-Switching (HMS) model for measuring the risk of a po...
We consider the dilemma of taking sequential action within a nebulous and costly stochastic system. ...
Risk management in this paper is focused on multivariate risk-return decision making assuming time-v...