Optimal control of the investment portfolio with respect to the quantile criterion

DOI10.1023/B:AURC.0000014729.88225.6FzbMath1097.91043OpenAlexW1966505168MaRDI QIDQ1778993

Yu. S. Kan, P. V. Grigor'ev

Publication date: 17 June 2005

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:aurc.0000014729.88225.6f

Mathematics Subject Classification ID

Stochastic programming (90C15)

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