Dynamic portfolio optimization under multi-factor model in stochastic markets
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Publication:1929951
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Cites work
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- Mixtures of \(t\)-distributions for finance and forecasting
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Cited in
(14)- The performance of stochastic dynamic and fixed mix portfolio models
- Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels
- Chance-constrained optimization for pension fund portfolios in the presence of default risk
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Dynamic investment strategy with factor models under regime switches
- Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
- Empirical research on dynamic portfolio and performance evaluation with multi-constraints
- A new multi-period portfolio selection model under the factor model
- Portfolio optimization and a factor model in a stochastic volatility market
- scientific article; zbMATH DE number 5657872 (Why is no real title available?)
- Dynamic portfolio optimization across hidden market regimes
- Dynamic portfolio optimization across hidden market regimes
- Enhancing index-tracking performance: leveraging characteristic-based factor models for reduced estimation errors
- Multi-period optimization portfolio with bankruptcy control in stochastic market
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