Portfolio choice problems. An introductory survey of single and multiperiod models.

DOI10.1007/978-1-4614-0577-1MaRDI QIDQ5198510zbMATH OpenOpenAlexFDO

Authors Nicolas Chapados

Publication date 8 August 2011

Full work available at URL https://doi.org/10.1007/978-1-4614-0577-1

zbMATH Keywords

forecasting modelsmultiperiod modelsportfolio choiceportfolio optimizationrisk measurestochastic programming

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Mathematical economics (91B99) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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(7)

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• 60 years of portfolio optimization: practical challenges and current trends
• Portfolio Optimization and Performance Analysis
• Handbook of Portfolio Construction
• Problems in portfolio theory and the fundamentals of financial decision making
• Portfolio optimization. With CD-ROM.
• Portfolio selection and asset pricing

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