Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
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Publication:2288946
DOI10.1007/S10479-018-2991-ZzbMATH Open1430.91092OpenAlexW2887902413WikidataQ129478810 ScholiaQ129478810MaRDI QIDQ2288946FDOQ2288946
Authors: Thuener Silva, Marcus Poggi, Davi Michel Valladão 
Publication date: 20 January 2020
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-018-2991-z
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Cited In (11)
- A data-driven approach for a class of stochastic dynamic optimization problems
- Assessing the value of natural gas underground storage in the Brazilian system via stochastic dual dynamic programming
- Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs
- Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
- On conditional cuts for stochastic dual dynamic programming
- Stochastic Dual Dynamic Programming for Multiechelon Lot Sizing with Component Substitution
- Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products
- Dynamic asset allocation with event risk, transaction costs and predictable returns
- Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
- The policy graph decomposition of multistage stochastic programming problems
- Partially observable multistage stochastic programming
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