48 citations · 357 across the 28 of their papers we have counts for
5 papers · 1 filter
Markov Decision Processes with Risk-Sensitive Criteria: An Overview
Nicole Bäuerle, Anna Jaśkiewicz
The paper provides an overview of the theory and applications of risk-sensitive Markov decision processes. The term 'risk-sensitive' refers here to the use of the Optimized Certain…
Continuous-time mean field Markov decision models
Nicole Bäuerle, Sebastian Höfer
We consider a finite number of statistically equal agents, each moving on a finite set of states according to a continuous-time Markov Decision Process (MDP). Transition intens…
Nash equilibria for relative investors with (non)linear price impact
Nicole Bäuerle, Tamara Göll
We consider the strategic interaction of investors who are able to influence a stock price process and at the same time measure their utilities relative to the other investors.…
Optimal investment in ambiguous financial markets with learning
Nicole Bäuerle, Antje Mahayni
We consider the classical multi-asset Merton investment problem under drift uncertainty, i.e. the asset price dynamics are given by geometric Brownian motions with constant but unk…
Time-consistency in the mean-variance problem: A new perspective
Nicole Bäuerle, Anna Jaśkiewicz
We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with deterministic transitio…