First passage times in portfolio optimization : a novel nonparametric approach
Year of publication: |
2024
|
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Authors: | Zsurkis, Gabriel ; Nicolau, João ; Rodrigues, Paulo M. M. |
Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 312.2024, 3 (1.2.), p. 1074-1085
|
Subject: | First-passage probability | Intra-horizon risk | Markov chains | Portfolio optimization | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
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