Dynamic portfolio optimization with risk control for absolute deviation model
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Publication:1037655
DOI10.1016/j.ejor.2009.03.009zbMath1180.91277OpenAlexW1997257815MaRDI QIDQ1037655
Hiroshi Inoue, Satoru Takahashi, Mei Yu, Shou-Yang Wang
Publication date: 16 November 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2009.03.009
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Cites Work
- Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- On extending the LP computable risk measures to account downside risk
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Portfolio Optimization Under a Minimax Rule
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
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