29 citations · 32 across the 2 of their papers we have counts for
2 papers
q-fin.RM2023★ 29 cited
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…
math.OC2023★ 3 cited
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…