Dynamic portfolio optimization under multi-factor model in stochastic markets
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Publication:1929951
DOI10.1007/s00291-012-0286-3zbMath1282.91297OpenAlexW2015679575MaRDI QIDQ1929951
Publication date: 10 January 2013
Published in: OR Spectrum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00291-012-0286-3
dynamic programmingportfolio optimizationstochastic marketbankruptcy riskbi-level programming methodmulti-factor
Stochastic programming (90C15) Dynamic programming (90C39) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (4)
Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels ⋮ Credibilitic mean-variance model for multi-period portfolio selection problem with risk control ⋮ Chance-constrained optimization for pension fund portfolios in the presence of default risk ⋮ Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
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