Multi-period optimization portfolio with bankruptcy control in stochastic market
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Cites work
- scientific article; zbMATH DE number 3748742 (Why is no real title available?)
- scientific article; zbMATH DE number 1247838 (Why is no real title available?)
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Portfolio optimization in stochastic markets
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
- Stock trading: an optimal selling rule
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(35)- Optimal investment with noise trading risk
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- Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels
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- An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
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- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- Time consistent policy of multi-period mean-variance
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
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