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"MDP algorithms for portfolio optimization problems in pure jump markets."

Nicole Bäuerle, Ulrich Rieder (2009)

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DOI: 10.1007/S00780-009-0093-0

access: closed

type: Journal Article

metadata version: 2020-07-22

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  - https://dblp.org/rec/journals/fs/BauerleR09
Nicole Bäuerle, Ulrich Rieder:
MDP algorithms for portfolio optimization problems in pure jump markets. Finance Stochastics 13(4): 591-611 (2009)

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