Stochastic portfolio selection problem with reliability criteria

DOI10.1155/2016/8417643zbMath1418.91482OpenAlexW2300077363WikidataQ59123675 ScholiaQ59123675MaRDI QIDQ2314735

Xiangsong Meng, Lixing Yang

Publication date: 30 July 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/8417643

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
• Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
• A chance-constrained portfolio selection model with risk constraints
• Multi-period semi-variance portfolio selection: model and numerical solution
• Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
• Computation of mean-semivariance efficient sets by the critical line algorithm
• A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
• A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
• Balanced train timetabling on a single-line railway with optimized velocity
• Mean-variance portfolio selection with correlation risk
• Dynamic mean-variance portfolio selection with borrowing constraint
• Portfolio selection with a new definition of risk
• Mean-chance model for portfolio selection based on uncertain measure
• The benefits of differential variance-based constraints in portfolio optimization
• Theoretical and empirical estimates of mean-variance portfolio sensitivity
• Mean-variance portfolio selection in presence of infrequently traded stocks