CV@R-penalised portfolio optimisation with biased stochastic mirror descent

DOI10.1007/S00780-025-00568-2MaRDI QIDQ6965580zbMATH OpenFDO

Authors Manon Costa, Sébastien Gadat, Lorick Huang

Publication date 3 July 2025

Published in Finance and Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S00780-025-00568-2

zbMATH Keywords

biased observationsdiscretisationportfolio selectionrisk management constraintstochastic mirror descent

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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