Dynamic portfolio optimization under multi-factor model in stochastic markets (Q1929951)
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scientific article; zbMATH DE number 6123949
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| English | Dynamic portfolio optimization under multi-factor model in stochastic markets |
scientific article; zbMATH DE number 6123949 |
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Dynamic portfolio optimization under multi-factor model in stochastic markets (English)
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10 January 2013
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portfolio optimization
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bankruptcy risk
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multi-factor
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stochastic market
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dynamic programming
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bi-level programming method
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0.8777703642845154
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0.7915862202644348
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0.7902647256851196
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0.7889993786811829
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