Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
Year of publication: |
2019
|
---|---|
Authors: | Valladão, Davi ; Silva, Thuener ; Poggi, Marcus |
Published in: |
Application of operations research to financial markets. - New York, NY, USA : Springer. - 2019, p. 379-405
|
Subject: | Stochastic programming | Time consistency | Dynamic asset allocation | Stochastic dual dynamic programming | Conditional value-at-risk constraints | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming | Stochastischer Prozess | Stochastic process | Transaktionskosten | Transaction costs | Risikomaß | Risk measure | Zeitkonsistenz |
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