Optimal HARA Investments with Terminal VaR Constraints.
Marcos Escobar-AnelMaximilian KellerRudi ZagstPublished in: Adv. Oper. Res. (2022)
Keyphrases
- dynamic programming
- optimality criteria
- optimal solution
- information technology
- information retrieval
- constrained optimization
- worst case
- constraint satisfaction
- upper bound
- stochastic dynamic programming
- reducing the search space
- optimal design
- optimal strategy
- constraint programming
- real time
- special case
- evolutionary algorithm
- multi agent
- learning algorithm
- data sets