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Dynamic portfolio choice when risk is measured by weighted VaR
He, Xue Dong; Jin, Hanqing; Zhou, Xun Yu - In: Mathematics of operations research 40 (2015) 3, pp. 773-796
Persistent link: https://www.econbiz.de/10011338687
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Mean-variance portfolio selection with dynamic targets for expected terminal wealth
He, Xue Dong; Jiang, Zhaoli - In: Mathematics of operations research 47 (2022) 1, pp. 587-615
Persistent link: https://www.econbiz.de/10013364907
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Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
Lim, Andrew E.B.; Zhou, Xun Yu - In: Mathematics of operations research 27 (2002) 1, pp. 101-120
Persistent link: https://www.econbiz.de/10006418594
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Deterministic Near-optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach
Zhou, Xun Yu - In: Mathematics of operations research 21 (1996) 3, pp. 655-674
Persistent link: https://www.econbiz.de/10006420532