Short communication: Monte Carlo expected wealth and risk measure trade-off portfolio optimization
DOI10.1137/23M1624439zbMATH Open1545.91329MaRDI QIDQ6557366FDOQ6557366
Authors: R. A. E. Mäkinen, Jari Toivanen 
Publication date: 18 June 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
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constrained optimizationMonte Carlo simulationmean-variance optimizationdynamic portfolio managementmean-semivariance optimization
Monte Carlo methods (65C05) Methods of successive quadratic programming type (90C55) Numerical methods (including Monte Carlo methods) (91G60) Nonlinear programming (90C30) Portfolio theory (91G10)
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- Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
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