{"id":"https://openalex.org/W2024680294","doi":"https://doi.org/10.1007/s00780-009-0093-0","title":"MDP algorithms for portfolio optimization problems in\u00a0pure jump markets","display_name":"MDP algorithms for portfolio optimization problems in\u00a0pure jump markets","publication_year":2009,"publication_date":"2009-07-10","ids":{"openalex":"https://openalex.org/W2024680294","doi":"https://doi.org/10.1007/s00780-009-0093-0","mag":"2024680294"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-009-0093-0","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-009-0093-0","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.5445/ir/1000032916","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5022449258","display_name":"Nicole B\u00e4uerle","orcid":"https://orcid.org/0000-0003-0077-3444"},"institutions":[{"id":"https://openalex.org/I102335020","display_name":"Karlsruhe Institute of Technology","ror":"https://ror.org/04t3en479","country_code":"DE","type":"education","lineage":["https://openalex.org/I102335020","https://openalex.org/I1305996414"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Nicole B\u00e4uerle","raw_affiliation_strings":["Institut f\u00fcr Stochastik, Universit\u00e4t Karlsruhe (TH), 76128, Karlsruhe, Germany","Universit\u00e4t Karlsruhe (TH)#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institut f\u00fcr Stochastik, Universit\u00e4t Karlsruhe (TH), 76128, Karlsruhe, Germany","institution_ids":["https://openalex.org/I102335020"]},{"raw_affiliation_string":"Universit\u00e4t Karlsruhe (TH)#TAB#","institution_ids":["https://openalex.org/I102335020"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5048649409","display_name":"Ulrich Rieder","orcid":"https://orcid.org/0000-0003-3604-0488"},"institutions":[{"id":"https://openalex.org/I196349391","display_name":"Universit\u00e4t Ulm","ror":"https://ror.org/032000t02","country_code":"DE","type":"education","lineage":["https://openalex.org/I196349391"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Ulrich Rieder","raw_affiliation_strings":["Institut f\u00fcr Optimierung und Operations Research, Universit\u00e4t Ulm, 89069, Ulm, Germany","Universit\u00e4t ULM"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institut f\u00fcr Optimierung und Operations Research, Universit\u00e4t Ulm, 89069, Ulm, Germany","institution_ids":["https://openalex.org/I196349391"]},{"raw_affiliation_string":"Universit\u00e4t ULM","institution_ids":["https://openalex.org/I196349391"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5022449258"],"corresponding_institution_ids":["https://openalex.org/I102335020"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":1.7918,"has_fulltext":false,"cited_by_count":42,"citation_normalized_percentile":{"value":0.87732181,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"13","issue":"4","first_page":"591","last_page":"611"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9932000041007996,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9779999852180481,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/markov-decision-process","display_name":"Markov decision process","score":0.7467999458312988},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.7126067280769348},{"id":"https://openalex.org/keywords/dynamic-programming","display_name":"Dynamic programming","score":0.6391226053237915},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.6261054277420044},{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.5227137804031372},{"id":"https://openalex.org/keywords/piecewise","display_name":"Piecewise","score":0.5116077065467834},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.509699821472168},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.5079978108406067},{"id":"https://openalex.org/keywords/state-space","display_name":"State space","score":0.4586603045463562},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.4528743028640747},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.43949973583221436},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.43200722336769104},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.4209229052066803},{"id":"https://openalex.org/keywords/embedding","display_name":"Embedding","score":0.42042043805122375},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.38633060455322266},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.38428375124931335},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.10987046360969543}],"concepts":[{"id":"https://openalex.org/C106189395","wikidata":"https://www.wikidata.org/wiki/Q176789","display_name":"Markov decision process","level":3,"score":0.7467999458312988},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.7126067280769348},{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.6391226053237915},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6261054277420044},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.5227137804031372},{"id":"https://openalex.org/C164660894","wikidata":"https://www.wikidata.org/wiki/Q2037833","display_name":"Piecewise","level":2,"score":0.5116077065467834},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.509699821472168},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.5079978108406067},{"id":"https://openalex.org/C72434380","wikidata":"https://www.wikidata.org/wiki/Q230930","display_name":"State space","level":2,"score":0.4586603045463562},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.4528743028640747},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.43949973583221436},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.43200722336769104},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.4209229052066803},{"id":"https://openalex.org/C41608201","wikidata":"https://www.wikidata.org/wiki/Q980509","display_name":"Embedding","level":2,"score":0.42042043805122375},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.38633060455322266},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.38428375124931335},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10987046360969543},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1007/s00780-009-0093-0","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-009-0093-0","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:EVASTAR-Karlsruhe.de:1000032916","is_oa":false,"landing_page_url":"https://publikationen.bibliothek.kit.edu/1000032916","pdf_url":null,"source":{"id":"https://openalex.org/S4306401992","display_name":"Repository KITopen (Karlsruhe Institute of Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I102335020","host_organization_name":"Karlsruhe Institute of Technology","host_organization_lineage":["https://openalex.org/I102335020"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics, 13 (4), 591-611","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.560.8055","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.560.8055","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.math.kit.edu/stoch/~baeuerle/seite/markov_nb/media/br_mdpjump.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:spr:finsto:v:13:y:2009:i:4:p:591-611","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-009-0093-0","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"doi:10.5445/ir/1000032916","is_oa":true,"landing_page_url":"https://doi.org/10.5445/ir/1000032916","pdf_url":null,"source":{"id":"https://openalex.org/S7407052948","display_name":"KITopen","issn_l":null,"issn":[],"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"doi:10.5445/ir/1000032916","is_oa":true,"landing_page_url":"https://doi.org/10.5445/ir/1000032916","pdf_url":null,"source":{"id":"https://openalex.org/S7407052948","display_name":"KITopen","issn_l":null,"issn":[],"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/16","display_name":"Peace, Justice and strong institutions","score":0.550000011920929}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":21,"referenced_works":["https://openalex.org/W599484449","https://openalex.org/W1529558080","https://openalex.org/W1558902221","https://openalex.org/W1964377184","https://openalex.org/W1992668155","https://openalex.org/W2015692920","https://openalex.org/W2029102758","https://openalex.org/W2076424721","https://openalex.org/W2088300195","https://openalex.org/W2097206578","https://openalex.org/W2121011365","https://openalex.org/W2125042092","https://openalex.org/W2143706916","https://openalex.org/W2156992384","https://openalex.org/W2506952443","https://openalex.org/W2745324256","https://openalex.org/W3139822488","https://openalex.org/W4247619688","https://openalex.org/W4285719527","https://openalex.org/W4292366002","https://openalex.org/W4294009563"],"related_works":["https://openalex.org/W4297940580","https://openalex.org/W4322718218","https://openalex.org/W2904076065","https://openalex.org/W4205872880","https://openalex.org/W2245453086","https://openalex.org/W2156992384","https://openalex.org/W1800916125","https://openalex.org/W2263747200","https://openalex.org/W2117282672","https://openalex.org/W3095122676"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":8},{"year":2016,"cited_by_count":5},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":1}],"updated_date":"2026-07-02T09:51:11.867554","created_date":"2025-10-10T00:00:00"}
