Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
Davi Valladão, Thuener Silva, Marcus Poggi
| Year of publication: |
2019
|
|---|---|
| Authors: | Valladão, Davi ; Silva, Thuener ; Poggi, Marcus |
| Published in: |
Application of operations research to financial markets. - New York, NY, USA : Springer. - 2019, p. 379-405
|
| Subject: | Stochastic programming | Time consistency | Dynamic asset allocation | Stochastic dual dynamic programming | Conditional value-at-risk constraints | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming | Theorie | Theory | Transaktionskosten | Transaction costs | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure | Zeitkonsistenz |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-2991-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012160031