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

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