| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6898497 | European Journal of Operational Research | 2012 | 7 Pages |
Abstract
⺠This paper introduces a continuous-time mean-variance optimization problem for MDPs. ⺠It obtains an optimal policy minimizing the variance with a given expected reward. ⺠It obtains an efficient frontier and a mutual fund theorem. ⺠It develops policy iteration methods.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Xianping Guo, Liuer Ye, George Yin,