Time consistency of the mean-risk problem
Year of publication: |
2021
|
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Authors: | Kováčová, Gabriela ; Rudloff, Birgit |
Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 69.2021, 4, p. 1100-1117
|
Subject: | mean-risk problem | portfolio selection problem | vector optimization | dynamic programming | Bellman's principle | algorithms | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Zeitkonsistenz | Time consistency |
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