The Structure of an Investment Portfolio in Two-step Problem of Optimal Investment with One Risky Asset Via the Probability Criterion.
Alexei N. IgnatovPublished in: AIST (Supplement) (2016)
Keyphrases
- hierarchical structure
- optimal portfolio
- asset allocation
- portfolio selection
- portfolio management
- transaction costs
- optimality criterion
- decision making
- market data
- investment strategies
- expected utility
- return on investment
- investment decisions
- probability distribution
- long run
- portfolio optimization
- real option
- financial markets
- post processing
- supply chain
- closed form
- cost benefit
- multi objective
- neural network
- sharpe ratio