The construction of an investment portfolio using stochastic programming
Year of publication: |
July 2016
|
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Authors: | Kabašinskas, Audrius ; Kadikinaitė, Lina |
Published in: |
Journal of sustainable finance & investment. - Abingdon : Routledge, ISSN 2043-0795, ZDB-ID 2636662-9. - Vol. 6.2016, 3, p. 151-160
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Subject: | Stochastic programming | risk measures | portfolio optimization | stochastic difference equation | value-at-risk | conditional value-at-risk | Stochastischer Prozess | Stochastic process | Experiment | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory |
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