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Algorithmic procedures for mean variance optimality in Markov decision chains
In this note we discussed some algorithmic procedures for finding optimal policies of Markov decision chains with respect to various mean variance optimality of the variance of total cumulative reward. Fin...
BB - Aplikovaná statistika, operační výzkum
- 2006 •
- D
Rok uplatnění
D - Stať ve sborníku
Optimal mean - variance portfolios under NSD efficiency constraints
This paper deals with new types of optimization problems when minimizing variance of portfolios which have at least the required mean return and, moreover) criterion. These problems can be seen as generalizations of classic...
BB - Aplikovaná statistika, operační výzkum
- 2014 •
- D •
- Link
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D - Stať ve sborníku
Výsledek na webu
Risk Sensitive and Mean Variance Optimality in Markov Decision Processes
function and mean variance optimality models. Computational approaches for finding optimal decision with respect to the optimality criteria mentioned above are presented and analytical results showing con...
AH - Ekonomie
- 2008 •
- D
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D - Stať ve sborníku
Optimal solutions for undiscounted variance penalized Markov decision chains
processes and in contrast to the classical models we also considered variance of the obtained total reward. Various mean-variance optimality criteria are discussed and an algorithmical procedure for finding op...
BC - Teorie a systémy řízení
- 2004 •
- D
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D - Stať ve sborníku
Optimization Problems Connected with Kernel Estimates
We deal with the problem of finding smooth optimal kernels minimizing the asymptotic mean squared error and that of smooth variance kernels minimizing the asymptotic variance......
BB - Aplikovaná statistika, operační výzkum
- 2000 •
- D
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D - Stať ve sborníku
Stability analysis of optimal mean-variance portfolio due to covariance estimation
The objective of this paper is to study the stability of the mean-variance portfolio optimization. The results of the mean-variance optimal selection problem are very sensitive to the model parame...
Applied Economics, Econometrics
- 2017 •
- D •
- Link
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D - Stať ve sborníku
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Mean variance optimality in Markov decision chains
In this note, we consider discrete-time Markov decision processes with finite state space. Recalling explicit formulas for the growth rate of expected value and variance of the cumulative (random) reward, algorithmic procedures for finding <...
BB - Aplikovaná statistika, operační výzkum
- 2005 •
- D
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D - Stať ve sborníku
On the set of optimal policies in variance penalized Markov decision chains
In this note we present a policy iteration algorithm for constructing a set of efficient stationary policies containing optimal policies with respect to various criteria used for the mean variance tradeoff. This algorithm w...
BB - Aplikovaná statistika, operační výzkum
- 2004 •
- D
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D - Stať ve sborníku
Second order of stochastic dominance efficiency vs mean variance efficiency
variance analysis and expected utility. In particular, we show empirically that mean variance efficient portfolios are typically sub-optimal for non satiable and risk and mean variance efficient ...
Economics and Business
- 2021 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Cardinality constrained portfolio optimization
Portfolio optimization is one of the important areas of finance. In this paper cardinality constrained mean-variance model is used. It is very similar to well known Markowitz mean-variance model, the only ...
AH - Ekonomie
- 2009 •
- D
Rok uplatnění
D - Stať ve sborníku
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