4 papers
Sharpe Ratio Optimization in Markov Decision Processes
Shuai Ma, Guangwu Liu, Li Xia
Sharpe ratio (also known as reward-to-variability ratio) is a widely-used metric in finance, which measures the additional return at the cost of per unit of increased risk (standar…
Finite-Horizon Partially Observable Semi-Markov Games with Risk Probability Criteria
Xin Wen, Li Xia, Zhihui Yu
This paper studies partially observable two-person zero-sum semi-Markov games under a probability criterion, in which the system state may not be completely observed. It focuses on…
Markov Decision Processes with Value-at-Risk Criterion
Li Xia, Jinyan Pan
Value-at-risk (VaR), also known as quantile, is a crucial risk measure in finance and other fields. However, optimizing VaR metrics in Markov decision processes (MDPs) is challengi…
Mean-Variance Optimization and Algorithm for Finite-Horizon Markov Decision Processes
Li Xia, Zhihui Yu
Multi-period mean-variance optimization is a long-standing problem, caused by the failure of dynamic programming principle. This paper studies the mean-variance optimization in a s…