Dynamic mean-risk optimization in a binomial model
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Publication:1040686
DOI10.1007/s00186-008-0267-0zbMath1176.91143OpenAlexW2058378947MaRDI QIDQ1040686
Publication date: 25 November 2009
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-008-0267-0
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Cites Work
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- Optimal portfolios under a value-at-risk constraint
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Optimal Portfolios with Bounded Capital at Risk
- Optimal Control of Favorable Games with Expected Loss Constraint
- Portfolio optimization under the Value-at-Risk constraint
- Dynamic Portfolio Optimization with Bounded Shortfall Risks
- Stochastic finance. An introduction in discrete time
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