A multi-period regret minimization model for uncertain portfolio selection with bankruptcy constraint
Author:
Affiliation:
1. School of Management and Engineering, Capital University of Economics and Business, Beijing, China
Publisher
IOS Press
Subject
Artificial Intelligence,General Engineering,Statistics and Probability
Reference71 articles.
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4. Optimal dynamic portfolio selection: Multiperiod mean-variance formulation;Li;Mathematical Finance,2000
5. Optimal portfolio model under compound jump processes;Wan;Kybernetes,2009
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