The two-step problem of investment portfolio selection from two risk assets via the probability criterion
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Cites work
- scientific article; zbMATH DE number 4063877 (Why is no real title available?)
- Control optimization by the quantile criterion
- On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
- Optimal control of the investment portfolio with respect to the quantile criterion
- Optimal control of the portfolio
- PAMR: passive aggressive mean reversion strategy for portfolio selection
- Problems in stochastic programming with probabilistic criteria
Cited in
(13)- Probability criterion with admissible portfolio
- Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function
- Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
- On optimal retention of the trajectory of discrete stochastic system in tube
- On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion
- Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
- On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion
- Optimization of blockchain investment portfolio under artificial bee colony algorithm
- Problem of selecting an optimal portfolio with a probabilistic risk function
- Optimal dividend problems with a risk probability criterion
- Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming
- Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time
- A two-asset stochastic model for long-term portfolio selection
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