Multistage risk premiums in portfolio optimization

DOI10.14736/KYB-2017-6-0992zbMath1449.91125OpenAlexW2784304343MaRDI QIDQ4637444

Miloš Kopa, Barbora Petrová

Publication date: 18 April 2018

Published in: Kybernetika (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10338.dmlcz/147081

zbMATH Keywords

multistage stochastic programmingportfolio optimizationutility functionmultistage risk premium

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (1)

Evaluation of scenario reduction algorithms with nested distance

Uses Software

• GAMS

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