Investigation of multistage stochastic portfolio optimization problems

DOI10.1007/s10559-016-9887-1zbMath1354.93173OpenAlexW2552883269MaRDI QIDQ508563

O. A. Galkina

Publication date: 7 February 2017

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-016-9887-1

zbMATH Keywords

portfolio optimizationrisk measureasset

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Eigenvalue problems (93B60) Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

• Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio
• Coherent Measures of Risk
• A multi-stage stochastic programming approach for production planning with uncertainty in the quality of raw materials and demand
• Unnamed Item
• Unnamed Item

This page was built for publication: Investigation of multistage stochastic portfolio optimization problems