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0493556 - ÚTIA 2019 RIV CZ eng K - Conference Paper (Czech conference)
Sladký, Karel
Risk-sensitive and Mean Variance Optimality in Continuous-time Markov Decision Chains.
36th International Conference Mathematical Methods in Economics. Praha: MatfyzPress, 2018 - (Váchová, L.; Kratochvíl, V.), s. 497-512. ISBN 978-80-7378-371-6.
[36th International Conference Mathematical Methods in Economics. Jindřichův Hradec (CZ), 12.09.2018-14.09.2018]
R&D Projects: GA ČR GA18-02739S
Institutional support: RVO:67985556
Keywords : continuous-time Markov decision chains * exponential utility functions * certainty equivalent * mean-variance optimality * connections between risk-sensitive and risk-neutral optimality
OECD category: Economic Theory
http://library.utia.cas.cz/separaty/2018/E/sladky-0493556.pdf
Permanent Link: http://hdl.handle.net/11104/0286979