Investigation of multistage stochastic portfolio optimization problems

DOI10.1007/S10559-016-9887-1zbMATH Open1354.93173OpenAlexW2552883269MaRDI QIDQ508563FDOQ508563

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

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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)

Cites Work

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

Cited In (3)

• Title not available (Why is that?)
• On analyzing and detecting multiple optima of portfolio optimization
• Multistage risk premiums in portfolio optimization

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