A nonlinear control policy using kernel method for dynamic asset allocation

DOI10.15807/JORSJ.54.201MaRDI QIDQ3144759zbMATH OpenOpenAlexFDO

Authors Yuichi Takano, Jun-Ya Gotoh

Publication date 8 December 2012

Published in Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15807/jorsj.54.201

zbMATH Keywords

financeconditional value-at-riskkernel methodmulti-period portfolio optimizationcontrol policy

Mathematics Subject Classification ID

Linear programming (90C05) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10)

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