Multi-period power utility optimization under stock return predictability
Year of publication: |
2023
|
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Authors: | Bodnar, Taras ; Ivasiuk, Dmytro ; Parolya, Nestor ; Schmid, Wolfgang |
Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 20.2023, 1, Art.-No. 4, p. 1-27
|
Subject: | CRRA | Dynamic optimization | Finance | Multi-period solution | Power utility | Theorie | Theory | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Elektrizitätswirtschaft | Electric power industry | Dynamische Optimierung | Dynamic programming | Mathematische Optimierung | Mathematical programming |
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