Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity

DOI10.1016/j.automatica.2022.110751zbMath1505.91353OpenAlexW4309579542MaRDI QIDQ2103729

Bo Li, Yichen Sun, Ran Ran Zhang

Publication date: 9 December 2022

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2022.110751

zbMATH Keywords

portfolio optimizationuncertainty theoryreturn ratesexperts' evaluationsroot system growth algorithm

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Optimistic value-based optimal control problems with uncertain discrete-time noncausal systems ⋮ An adaptive dynamic programming-based algorithm for infinite-horizon linear quadratic stochastic optimal control problems

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