A Risk Extended Version of Merton's Optimal Consumption and Portfolio Selection.
Alain BensoussanSingRu (Celine) HoeJoohyun KimZhongfeng YanPublished in: Oper. Res. (2022)
Keyphrases
- portfolio selection
- optimal portfolio
- portfolio optimization
- portfolio management
- multistage stochastic
- risk measures
- expected utility
- financial markets
- robust optimization
- optimal solution
- artificial intelligence
- text mining
- pareto optimal
- utility function
- text classification
- investment decisions
- worst case
- lower bound