Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
Jinkyu Lee, Do-Gyun Kwon, Yongjae Lee, Jang Ho Kim and Woo Chang Kim
| Year of publication: |
2023
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|---|---|
| Authors: | Lee, Jinkyu ; Kwon, Do-Gyun ; Lee, Yongjae ; Kim, Jang Ho ; Kim, Woo Chang |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 9, p. 1341-1360
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| Subject: | Financial planning | Large-scale optimization | Multi-stage stochastic programming | Partially observable Markov states | Stochastic dual dynamic programming | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming | Stochastischer Prozess | Stochastic process | Theorie | Theory | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2221296 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014339931