Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs (Q299658)
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scientific article; zbMATH DE number 6596830
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| English | Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs |
scientific article; zbMATH DE number 6596830 |
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Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs (English)
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22 June 2016
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portfolio selection
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multi-period investment
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hybrid algorithm
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transaction costs
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risk measures
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0.8302454948425293
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0.8177093267440796
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0.8153303265571594
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0.8139305710792542
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