"Time-consistent risk-constrained dynamic portfolio optimization with ..."

Davi Michel Valladão, Thuener Silva, Marcus Poggi (2019)

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DOI: 10.1007/S10479-018-2991-Z

access: closed

type: Journal Article

metadata version: 2021-11-26

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  - https://dblp.org/rec/journals/anor/ValladaoSP19
Davi Michel Valladão, Thuener Silva, Marcus Poggi:
Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns. Ann. Oper. Res. 282(1-2): 379-405 (2019)

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