Time Consistency of the Mean-Risk Problem
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Publication:5031608
DOI10.1287/opre.2020.2002zbMath1484.91429arXiv1806.10981OpenAlexW3137049832MaRDI QIDQ5031608
Gabriela Kováčová, Birgit Rudloff
Publication date: 16 February 2022
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.10981
algorithmsvector optimizationset-valued functionsdynamic programmingfinancial engineeringportfolio theoryBellman's principleportfolio selection problemmean-risk problem
Related Items (7)
Geometric Duality Results and Approximation Algorithms for Convex Vector Optimization Problems ⋮ Convex projection and convex multi-objective optimization ⋮ Acceptability maximization ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Algorithms to Solve Unbounded Convex Vector Optimization Problems ⋮ Time consistency for scalar multivariate risk measures ⋮ Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Uses Software
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