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Stochastic Dominance-Constrained Markov Decision Processes
6 references·0 citing·24 second hop
Stochastic Dominance-Constrained Markov Decision Processes (2013)Stochastic Dominance-Constrained Markov D…Markov Decision Processes with Applications to Finance (2011)Markov Decision Processes wit…Optimization with multivariate stochastic dominance constraints (2007)Optimization with multivariat…Portfolio optimization with stochastic dominance constraints (2005)Portfolio optimization with s…Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints (2004)Optimality and duality theory…Optimization with Stochastic Dominance Constraints (2003)Optimization with Stochastic …Approximation of Infinite-Dimensional Linear Programming Problems which Arise in Stochastic Control (1998)Approximation of Infinite-Dim…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochastic Control Problems in Continuous Time (1992)Stochastic Differential Equations (2006)Theory of Games and Economic Behavior (1945)Lectures on Stochastic Programming (2009)Introduction to Stochastic Programming (2011)Monte Carlo sampling-based methods for stochastic optimization (2014)Theory of games and economic behavior (2019)Frameworks and Results in Distributionally Robust Optimization (2022)Rules for Ordering Uncertain Prospects (1969)UTILITY THEORY FOR DECISION MAKING (1970)Utility Theory for Decision Making (1971)Risk-adjusted budget allocation models with application in homeland security (2011)Optimization with Multivariate Conditional Value-at-Risk Constraints (2013)Stochastic Programming (1995)New Formulations for Optimization under Stochastic Dominance Constraints (2008)Portfolio Selection (1952)Optimization of conditional value-at-risk (2000)An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints (2009)Modeling and optimization of risk (2010)Stochastic Games (1953)From Bandits to Monte-Carlo Tree Search: The Optimistic Principle Applied to Optimization and Planning (2014)Trading financial indices with reinforcement learning agents (2018)A brief review of portfolio optimization techniques (2022)
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References

  • 2011Markov Decision Processes with Applications to Finance398 cited
  • 2003Optimization with Stochastic Dominance Constraints376 cited
  • 2005Portfolio optimization with stochastic dominance constraints224 cited
  • 2004Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints105 cited
  • 2007Optimization with multivariate stochastic dominance constraints74 cited
  • 1998Approximation of Infinite-Dimensional Linear Programming Problems which Arise in Stochastic Control24 cited

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