Recursive risk measures under regime switching applied to portfolio selection (Q4555153): Difference between revisions

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Latest revision as of 10:57, 17 July 2024

scientific article; zbMATH DE number 6981267
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English
Recursive risk measures under regime switching applied to portfolio selection
scientific article; zbMATH DE number 6981267

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    Recursive risk measures under regime switching applied to portfolio selection (English)
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    19 November 2018
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    time consistency
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    recursive risk measure
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    regime switching
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    dynamic portfolio selection
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    conditional value-at-risk
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    factor model
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