First passage times in portfolio optimization : a novel nonparametric approach
Gabriel Zsurkis, João Nicolau, Paulo M.M. Rodrigues
| Year of publication: |
2024
|
|---|---|
| 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 | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.07.044 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014456467