Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns (Q2288946)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns |
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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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