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Risk-sensitive control of Markov decision processes: A moment-based approach with target distributions
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2004The Theory and Practice of Revenue Management2,238 cited
  • 1991Standard Risk Aversion851 cited
  • 2003An Overview of Pricing Models for Revenue Management798 cited
  • 2000Optimal Control Theory : Applications to Management Science and Economics741 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 2005Pricing and Revenue Optimization602 cited
  • 2005The Theory and Practice of Revenue Management525 cited
  • 2002Pricing and revenue optimization509 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2006An overview of research on revenue management: current issues and future research447 cited
  • 2015Dynamic pricing and learning: Historical origins, current research, and new directions434 cited
  • 2007Risk Aversion in Inventory Management355 cited
  • 2014Recent Developments in Dynamic Pricing Research: Multiple Products, Competition, and Limited Demand Information225 cited
  • 2007Relative Entropy, Exponential Utility, and Robust Dynamic Pricing

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