مرکز منطقه ای اطلاع رساني علوم و فناوري - Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control

Title of article :

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

Author/Authors :

Yonggan Zhao، نويسنده , , William T. Ziemba، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2008

Pages :

From page :

1525

To page :

1540

Keywords :

Risk neutral probabilities , Dynamic investment model , Multiperiod stochastic programming

Journal title :

European Journal of Operational Research

Serial Year :

2008

Journal title :

European Journal of Operational Research

Record number :

217393

Link To Document :