Short communication: Monte Carlo expected wealth and risk measure trade-off portfolio optimization

DOI10.1137/23m1624439zbMATH Open1545.91329MaRDI QIDQ6557366

J. Toivanen, Raino A. E. Mäkinen

Publication date: 18 June 2024

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

constrained optimizationMonte Carlo simulationmean-variance optimizationdynamic portfolio managementmean-semivariance optimization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Nonlinear programming (90C30) Methods of successive quadratic programming type (90C55) Portfolio theory (91G10)

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