Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns (Q2288946)
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scientific article; zbMATH DE number 7153563
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| English | Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns |
scientific article; zbMATH DE number 7153563 |
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Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns (English)
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20 January 2020
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stochastic programming
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time consistency
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dynamic asset allocation
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stochastic dual dynamic programming
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conditional value-at-risk constraints
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0.93123996
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0.9183155
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0.9029946
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0.9016885
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0.90078306
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0.8957554
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0.89495164
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