The two-step problem of investment portfolio selection from two risk assets via the probability criterion
From MaRDI portal
Publication:500286
DOI10.1134/S0005117915070061zbMath1320.93074OpenAlexW969036668MaRDI QIDQ500286
Publication date: 2 October 2015
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0005117915070061
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (10)
Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function ⋮ Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion ⋮ Optimal dividend problems with a risk probability criterion ⋮ Optimization of blockchain investment portfolio under artificial bee colony algorithm ⋮ Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time ⋮ On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion ⋮ On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion ⋮ Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming ⋮ On optimal retention of the trajectory of discrete stochastic system in tube ⋮ Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
Cites Work
- Unnamed Item
- Unnamed Item
- PAMR: passive aggressive mean reversion strategy for portfolio selection
- On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
- Control optimization by the quantile criterion
- Optimal control of the portfolio
- Optimal control of the investment portfolio with respect to the quantile criterion
This page was built for publication: The two-step problem of investment portfolio selection from two risk assets via the probability criterion
