Time consistency of the mean-risk problem (Q5031608)
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scientific article; zbMATH DE number 7474548
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| English | Time consistency of the mean-risk problem |
scientific article; zbMATH DE number 7474548 |
Statements
Time Consistency of the Mean-Risk Problem (English)
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16 February 2022
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dynamic programming
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portfolio theory
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set-valued functions
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financial engineering
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mean-risk problem
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portfolio selection problem
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vector optimization
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Bellman's principle
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algorithms
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0.8219847083091736
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0.8162464499473572
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0.804007351398468
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0.800190269947052
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0.7992696166038513
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