Multiperiod mean-absolute deviation credibility portfolio optimization with chance constraint (Q5209997)
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scientific article; zbMATH DE number 7156415
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| English | Multiperiod mean-absolute deviation credibility portfolio optimization with chance constraint |
scientific article; zbMATH DE number 7156415 |
Statements
22 January 2020
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chance-constrained programming
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credibility measure
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multiperiod portfolio optimization
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mean absolute deviation model
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forward dynamic programming method
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0.8955590724945068
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0.877310574054718
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0.8666301965713501
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0.8395917415618896
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