Multi-period portfolio selection with investor views based on scenario tree (Q2073082): Difference between revisions

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+Robust optimization and portfolio selection: the cost of robustness
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+Robust portfolios that do not tilt factor exposure
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+Portfolio rebalancing model with transaction costs based on fuzzy decision theory
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+years of portfolio optimization: practical challenges and current trends
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+The dynamic Black-Litterman approach to asset allocation
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+A closed-form solution of the Black-Litterman model with conditional value at risk
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+A Generalized Black–Litterman Model
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+Generating Scenario Trees for Multistage Decision Problems
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+A heuristic for moment-matching scenario generation
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+Scenarios for multistage stochastic programs
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+Stability analysis of portfolio management with conditional value-at-risk
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