Dynamic portfolio optimization with risk control for absolute deviation model
type: Item
instance of: scholarly article
title: Dynamic portfolio optimization with risk control for absolute deviation model
zbMATH Open document ID: 1180.91277
author: Mei Yu
author: Satoru Takahashi
author: Hiroshi Inoue
author: Shouyang Wang
published in: European Journal of Operational Research
publication date: 2009-11-16T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 5633664
zbMATH Keywords: portfolio optimization
zbMATH Keywords: linear programming
zbMATH Keywords: absolute deviation
zbMATH Keywords: dynamic programming
MaRDI profile type: Publication
full work available at URL: j.ejor.2009.03.009
OpenAlex ID: W1997257815
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cites work: Q3371141
cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework
cites work: Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
DOI: 10.1016/J.EJOR.2009.03.009
description: scientific article; zbMATH DE number 5633664