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Applied Mathematics and Computation
Volumn 186, Issue 1, 2007, Pages 414-425
Multi-period optimization portfolio with bankruptcy control in stochastic market
Author keywords

Bankruptcy constraint; Mean variance model; Portfolio selection; Stochastic market
Indexed keywords

CONSTRAINT THEORY; DYNAMIC PROGRAMMING; MARKOV PROCESSES; MATHEMATICAL MODELS; OPTIMIZATION; PROBLEM SOLVING;
EID: 33947248062     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2006.07.108     Document Type: Article
Times cited : (53)
References (13)
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  • 7
    • 1842534508 scopus 로고    scopus 로고
    • Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation
    • Zhu S.S., Li D., and Wang S.Y. Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation. IEEE Trans. Autom. Control 49 (2004) 447-457
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    • Zhu, S.S.1    Li, D.2    Wang, S.Y.3
  • 8
    • 0001177402 scopus 로고    scopus 로고
    • Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
    • Bielecki T., Hernández-Hernández D., and Pliska S.R. Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management. Math. Meth. Oper. Res. 50 (1999) 167-188
    • (1999) Math. Meth. Oper. Res. , vol.50 , pp. 167-188
    • Bielecki, T.1    Hernández-Hernández, D.2    Pliska, S.R.3
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  • 10
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    • Portfolio optimization with Markov-modulated stock prices and interest rates
    • Bäuerle N., and Rieder U. Portfolio optimization with Markov-modulated stock prices and interest rates. IEEE Trans. Autom. Control 49 (2004) 442-447
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  • 11
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.