Multi-period portfolio optimization under probabilistic risk measure
Year of publication: |
August 2016
|
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Authors: | Sun, Yufei ; Aw, Grace ; Teo, Kok Lay ; Zhu, Yanjian ; Wang, Xiangyu |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 18.2016, p. 60-66
|
Subject: | Portfolio optimization | Probability risk measure | Discrete-time optimal control | Dynamic programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Dynamische Optimierung | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Wahrscheinlichkeitsrechnung | Probability theory | Messung | Measurement |
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