Multi-period portfolio selection with investor views based on scenario tree

DOI10.1016/j.amc.2021.126813MaRDI QIDQ2073082

Lin Bai, Yong Fang, Daping Zhao, Shou-Yang Wang

Publication date: 27 January 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2021.126813

zbMATH Keywords

optimization; scenario tree; portfolio selection; multi-period; investor views

Mathematics Subject Classification ID

90Cxx: Mathematical programming

91Bxx: Mathematical economics

91Gxx: Actuarial science and mathematical finance

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Cites Work

• Generating Scenario Trees for Multistage Decision Problems
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