scientific article; zbMATH DE number 1070365

zbMATH Open0878.90004MaRDI QIDQ4356840FDOQ4356840

Authors: Andrzej M. J. Skulimowski 

Publication date: 5 October 1997

Title of this publication is not available (Why is that?)

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zbMATH Keywords

dynamic programmingmulticriteria optimizationdiscrete-time control systemsdynamic multi-stage portfolio optimization

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Filtering in stochastic control theory (93E11) Portfolio theory (91G10) Economic growth models (91B62)

Cited In (4)

• Dynamic portfolio optimization across hidden market regimes
• Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?
• A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization
• Dynamic portfolio optimization across hidden market regimes

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