Portfolio selection with uncertain exit time: a robust CVaR approach
From MaRDI portal
Publication:844601
DOI10.1016/j.jedc.2007.03.003zbMath1181.91292OpenAlexW2105815023MaRDI 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
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Linear programming (90C05) Portfolio theory (91G10)
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Uses Software
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