Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis
[ 1 ] Instytut Logistyki, Wydział Inżynierii Zarządzania, Politechnika Poznańska | [ P ] pracownik
2023
artykuł naukowy
angielski
- Probability distortion
- Markov decision processes
- Dynamic programming
- Risk management
- Mathematical finance
EN 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 operators are introduced, and its availability for dynamic programming is demonstrated. Based on dynamic programming algorithm, existence of the optimal policy is justified and an application of the theory to portfolio optimization along with a numerical study is also presented.
09.12.2022
1043 - 1060
CC BY (uznanie autorstwa)
czasopismo hybrydowe
ostateczna wersja opublikowana
09.12.2022
w momencie opublikowania
publiczny
70
1,4