Investigation of multistage stochastic portfolio optimization problems

DOI10.1007/S10559-016-9887-1MaRDI QIDQ508563zbMATH OpenOpenAlexFDO

Authors O. A. Galkina

Publication date 7 February 2017

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-016-9887-1

zbMATH Keywords

portfolio optimizationrisk measureasset

Mathematics Subject Classification ID

Portfolio theory (91G10) Eigenvalue problems (93B60) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cites work

• A multi-stage stochastic programming approach for production planning with uncertainty in the quality of raw materials and demand
• Coherent measures of risk
• Evaluation of scenario generation methods for stochastic programming
• Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
• Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio

Cited in

(4)

• Spectral coherent risk measures in the portfolio optimization problems
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• scientific article; zbMATH DE number 7109393 (Why is no real title available?)

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