A decomposition method for optimal portfolios with regime-switching and risk constraint.

Jingzhen Liu Ka Fai Cedric Yiu Tak Kuen Siu

Published in: Risk Decis. Anal. (2012)

Keyphrases

decomposition method
decomposition algorithm
decomposition methods
tree decomposition
optimal portfolio
portfolio optimization
risk management
portfolio selection
risk neutral
conditional expectation
dynamic programming
optimal solution
multi objective
worst case
risk averse