The two-step problem of investment portfolio selection from two risk assets via the probability criterion
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Publication:500286
DOI10.1134/S0005117915070061zbMATH Open1320.93074OpenAlexW969036668MaRDI QIDQ500286FDOQ500286
Authors: A. I. Kibzun, A. N. Ignatov 
Publication date: 2 October 2015
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0005117915070061
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Cites Work
- Title not available (Why is that?)
- Problems in stochastic programming with probabilistic criteria
- PAMR: passive aggressive mean reversion strategy for portfolio selection
- 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 portfolio
- Optimal control of the investment portfolio with respect to the quantile criterion
Cited In (13)
- On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion
- Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function
- Optimization of blockchain investment portfolio under artificial bee colony algorithm
- On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion
- Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
- Problem of selecting an optimal portfolio with a probabilistic risk function
- Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time
- On optimal retention of the trajectory of discrete stochastic system in tube
- Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
- Probability criterion with admissible portfolio
- A two-asset stochastic model for long-term portfolio selection
- 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
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