{"title":"Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis.","authors":"Kerem Uğurlu, Tomasz Brzeczek","doi":"10.1007/s10100-022-00834-0","DOIUrl":null,"url":null,"abstract":"<p><p>A robust optimal control of discrete time Markov chains with finite terminal <i>T</i> and bounded costs or wealth using probability distortion is studied. The time inconsistency of these distortion operators and hence its lack of dynamic programming are discussed. Due to that, dynamic versions of these operators are introduced, and its availability for dynamic programming is demonstrated. Based on dynamic programming algorithm, existence of the optimal policy is justified and an application of the theory to portfolio optimization along with a numerical study is also presented.</p>","PeriodicalId":9689,"journal":{"name":"Central European Journal of Operations Research","volume":" ","pages":"1-18"},"PeriodicalIF":1.4000,"publicationDate":"2022-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9734642/pdf/","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Central European Journal of Operations Research","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1007/s10100-022-00834-0","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}
引用次数: 0
Abstract
A robust optimal control of discrete time Markov chains with finite terminal T and bounded costs or wealth using probability distortion is studied. The time inconsistency of these distortion operators and hence its lack of dynamic programming are discussed. Due to that, dynamic versions of these operators are introduced, and its availability for dynamic programming is demonstrated. Based on dynamic programming algorithm, existence of the optimal policy is justified and an application of the theory to portfolio optimization along with a numerical study is also presented.
本文研究了利用概率变形对具有有限终端 T 和有界成本或财富的离散时间马尔可夫链进行稳健优化控制的问题。本文讨论了这些畸变算子的时间不一致性及其动态编程的不足。因此，引入了这些算子的动态版本，并证明了其在动态编程中的可用性。在动态编程算法的基础上，证明了最优政策的存在，并介绍了该理论在投资组合优化中的应用以及数值研究。
期刊介绍：
The Central European Journal of Operations Research provides an international readership with high quality papers that cover the theory and practice of OR and the relationship of OR methods to modern quantitative economics and business administration.
The focus is on topics such as:
- finance and banking
- measuring productivity and efficiency in the public sector
- environmental and energy issues
- computational tools for strategic decision support
- production management and logistics
- planning and scheduling
The journal publishes theoretical papers as well as application-oriented contributions and practical case studies. Occasionally, special issues feature a particular area of OR or report on the results of scientific meetings.
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