Portfolio selection with uncertain exit time: a robust CVaR approach
From MaRDI portal
Publication:844601
DOI10.1016/j.jedc.2007.03.003zbMath1181.91292MaRDI QIDQ844601
Masao Fukushima, Frank J. Fabozzi, Dashan Huang, Shu-Shang Zhu
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2007.03.003
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
90C05: Linear programming
91G10: Portfolio theory
Uses Software