Event-Based Optimization for POMDPs and Its Application in Portfolio Management
暂无分享,去创建一个
[1] A. Stuart,et al. Portfolio Selection: Efficient Diversification of Investments , 1959 .
[2] A. Stuart,et al. Portfolio Selection: Efficient Diversification of Investments. , 1960 .
[3] C. Striebel. Sufficient statistics in the optimum control of stochastic systems , 1965 .
[4] R. C. Merton,et al. Optimum consumption and portfolio rules in a continuous - time model Journal of Economic Theory 3 , 1971 .
[5] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[6] R. C. Merton,et al. Optimum Consumption and Portfolio Rules in a Continuous-Time Model* , 1975 .
[7] D. Bertsekas,et al. Dynamic Programming and Stochastic Control , 1977, IEEE Transactions on Systems, Man, and Cybernetics.
[8] John N. Tsitsiklis,et al. The Complexity of Markov Decision Processes , 1987, Math. Oper. Res..
[9] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[10] Chelsea C. White,et al. Finite-Memory Suboptimal Design for Partially Observed Markov Decision Processes , 1994, Oper. Res..
[11] X. Zhou,et al. Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework , 2000 .
[12] Peter L. Bartlett,et al. Infinite-Horizon Policy-Gradient Estimation , 2001, J. Artif. Intell. Res..
[13] Agnès Sulem,et al. Dynamic Optimization of Long-Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility , 2001 .
[14] Douglas Aberdeen,et al. Scalable Internal-State Policy-Gradient Methods for POMDPs , 2002, ICML.
[15] Jonathan Baxter,et al. Scaling Internal-State Policy-Gradient Methods for POMDPs , 2002 .
[16] S. Peng,et al. Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon , 2002 .
[17] Douglas Aberdeen,et al. Policy-Gradient Algorithms for Partially Observable Markov Decision Processes , 2003 .
[18] Andrew E. B. Lim. Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market , 2004, Math. Oper. Res..
[19] Xi-Ren Cao,et al. Basic Ideas for Event-Based Optimization of Markov Systems , 2005, Discret. Event Dyn. Syst..
[20] Jun Liu. Portfolio Selection in Stochastic Environments , 2007 .
[21] Xi-Ren Cao,et al. Event-Based Optimization of Markov Systems , 2008, IEEE Transactions on Automatic Control.
[22] Michael C. Fu,et al. A numerical method for financial decision problems under stochastic volatility , 2009, Proceedings of the 2009 Winter Simulation Conference (WSC).
[23] Xi-Ren Cao,et al. Stochastic learning and optimization - A sensitivity-based approach , 2007, Annual Reviews in Control.
[24] Michael C. Fu,et al. Solving Continuous-State POMDPs via Density Projection , 2010, IEEE Transactions on Automatic Control.
[25] Tao Lu,et al. Stochastic control via direct comparison , 2011, Discret. Event Dyn. Syst..