An analytic solution for multi-period uncertain portfolio selection problem

DOI10.1007/s10700-021-09367-8zbMath1491.91122OpenAlexW3173225033MaRDI QIDQ2141630

Yufei Sun, Bo Li, Kok Lay Teo

Publication date: 25 May 2022

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-021-09367-8

zbMATH Keywords

analytic solutionportfolio selectionminimax risk measureuncertain variable

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

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