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math.OC2025
Yet Another Distributional Bellman Equation
Nicole Bäuerle, Tamara Göll, Anna Jaśkiewicz
We consider non-standard Markov Decision Processes (MDPs) where the target function is not only a simple expectation of the accumulated reward. Instead, we consider rather general…
math.OC2025
Relative portfolio optimization via a value at risk based constraint
Nicole Bäuerle, Tamara Göll
In this paper, we consider agents who invest in a general financial market that is free of arbitrage and complete. The aim of each investor is to maximize her expected utility…