Linear Risk-averse Optimal Control Problems: Applications in Economics and Finance
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- van der Ploeg, Frederick, 2004. "Prudent Monetary Policy: Applications of Cautious LQG Control and Prediction," CEPR Discussion Papers 4222, C.E.P.R. Discussion Papers.
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KeywordsRisk-aversion; Linear Exponential Quadratic Gaussian; Optimal Control.;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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