Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics

DOI10.1016/j.cam.2015.12.008zbMath1409.91224OpenAlexW2203388908MaRDI QIDQ908370

Pan Zhao, Qingxian Xiao

Publication date: 4 February 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.12.008

zbMATH Keywords

utilityvalue-at-riskportfolio selectionnon-extensive statisticsdynamic programming principle

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Dynamic programming (90C39) Portfolio theory (91G10)

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