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Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time.
Weiping Wu
Ke Zhou
Zhicheng Li
Zhenpeng Tang
Published in:
J. Comput. Appl. Math. (2023)
Keyphrases
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portfolio selection
portfolio management
portfolio optimization
markov processes
multistage stochastic
optimal portfolio
financial markets
stochastic processes
risk measures
markov chain
risk management
genetic algorithm
decision making
robust optimization
stochastic programming