Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation

DOI10.1109/TAC.2004.824474zbMath1366.91150OpenAlexW2161903344WikidataQ57445516 ScholiaQ57445516MaRDI QIDQ5273716

Li, Duan, Shu-Shang Zhu, Shou-Yang Wang

Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2004.824474

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

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