Multiperiod portfolio investment using stochastic programming with conditional value at risk
type: Item
instance of: scholarly article
title: Multiperiod portfolio investment using stochastic programming with conditional value at risk
zbMATH Open document ID: 1391.90440
author: Hung-Hsin Chen
author: Chang-Biau Yang
published in: Computers \& Operations Research
publication date: 2018-07-11T00:00:00Z
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 90C59
zbMATH DE Number: 6901392
zbMATH Keywords: multiperiod portfolio investment
zbMATH Keywords: stochastic programming
zbMATH Keywords: conditional value at risk
zbMATH Keywords: moment matching
zbMATH Keywords: superior predictive ability
Wikidata QID: Q56524240
describes a project that uses: Pyomo
MaRDI profile type: Publication
full work available at URL: j.cor.2016.11.011
OpenAlex ID: W2556742204
cites work: Q4496020
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DBLP publication ID: journals/cor/ChenY17
DOI: 10.1016/J.COR.2016.11.011
description: scientific article; zbMATH DE number 6901392