Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes
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References listed on IDEAS
- Stratton C. Jaquette, 1976. "A Utility Criterion for Markov Decision Processes," Management Science, INFORMS, vol. 23(1), pages 43-49, September.
- Kawai, Hajime, 1987. "A variance minimization problem for a Markov decision process," European Journal of Operational Research, Elsevier, vol. 31(1), pages 140-145, July.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Ronald A. Howard & James E. Matheson, 1972. "Risk-Sensitive Markov Decision Processes," Management Science, INFORMS, vol. 18(7), pages 356-369, March.
More about this item
KeywordsDiscrete-time Markov decision chains; exponential utility functions; certainty equivalent; mean-variance optimality; connections between risk-sensitive and risk-neutral models;
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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