Optimal control of the investment portfolio with respect to the quantile criterion
type: Item
instance of: scholarly article
title: Optimal control of the investment portfolio with respect to the quantile criterion
zbMATH Open document ID: 1097.91043
author: P. V. Grigor'ev
author: Yu. S. Kan
published in: Automation and Remote Control
publication date: 2005-06-17T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 2177185
MaRDI profile type: Publication
full work available at URL: b:aurc.0000014729.88225.6f
OpenAlex ID: W1966505168
DOI: 10.1023/B:AURC.0000014729.88225.6F
Recommended article: Optimal control of the portfolio
Recommended article: Minimax optimization of investment portfolio by quantile criterion
Recommended article: Control of investment portfolio based on complex quantile risk measures
Recommended article: Q4455453
Recommended article: Quantile criterion-based control of the securities portfolio with a nonzero ruin probability
Recommended article: PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT
Recommended article: Quantile portfolio optimization under risk measure constraints
Recommended article: Quantile-based optimal portfolio selection
Recommended article: Optimal Impulse Control of Portfolios
Recommended article: Q4438216
description: scientific article; zbMATH DE number 2177185