Multi-period portfolio selection with drawdown control
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Publication:2288940
DOI10.1007/s10479-018-2947-3zbMath1430.91088OpenAlexW2808847270WikidataQ129622265 ScholiaQ129622265MaRDI QIDQ2288940
Erik Lindström, Peter Nystrup, Henrik Madsen, Stephen P. Boyd
Publication date: 20 January 2020
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://orbit.dtu.dk/en/publications/eb9557d4-f23c-40ee-9c2c-935d4d2e5f1e
regime switchingforecastingmodel predictive controldynamic asset allocationrisk managementmaximum drawdown
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