Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control

European Journal of Operational Research

Volumn 185, Issue 3, 2008, Pages 1525-1540

  Zhao, Yonggan ^a,b   Ziemba, William T ^c,d  

^a NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

^b DALHOUSIE UNIVERSITY   (Canada)

^c UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^d MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Dynamic investment model; Multiperiod stochastic programming; Risk neutral probabilities

Indexed keywords

LINEAR PROGRAMMING; MATHEMATICAL MODELS; OPTIMAL SYSTEMS; PROBABILITY; RISK MANAGEMENT; STOCHASTIC PROGRAMMING;

DYNAMIC INVESTMENT MODELS; MULTIPERIOD STOCHASTIC PROGRAMMING; RISK CONTROL; RISK NEUTRAL PROBABILITIES;

INVESTMENTS;

EID: 34848832936     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2006.09.002     Document Type: Article

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