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

portfolio choiceportfolio optimizationstochastic programmingrisk measureforecasting modelsmultiperiod models

Mathematics Subject Classification ID

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

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Cited in

(7)

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

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