Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
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Publication:2288946
DOI10.1007/s10479-018-2991-zzbMath1430.91092OpenAlexW2887902413MaRDI QIDQ2288946
Marcus Poggi, Thuener Silva, Davi Michel Valladão
Publication date: 20 January 2020
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-018-2991-z
stochastic programmingdynamic asset allocationstochastic dual dynamic programmingtime consistencyconditional value-at-risk constraints
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