scientific article; zbMATH DE number 1070365

MaRDI QIDQ4356840zbMATH OpenFDO

Authors Andrzej M. J. Skulimowski

Publication date 5 October 1997

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)

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• Dynamic portfolio optimization across hidden market regimes
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