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Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation.
Shushang Zhu
Duan Li
Shouyang Wang
Published in:
IEEE Trans. Autom. Control. (2004)
Keyphrases
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portfolio selection
portfolio optimization
portfolio management
robust optimization
multistage stochastic
risk measures
optimal portfolio
financial markets
multiple objectives
transaction costs
optimal solution
theoretical framework
mathematical programming