Dynamic mean–VaR portfolio selection in continuous time (Q4555169): Difference between revisions

@@ Property / describes a project that uses @@
+CPLEX
@@ Property / describes a project that uses: CPLEX / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+RiskMetrics
@@ Property / describes a project that uses: RiskMetrics / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2017.1298831
+Normal rank
@@ Property / OpenAlex ID @@
+W3125887435
@@ Property / OpenAlex ID: W3125887435 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
+Normal rank
@@ Property / cites work @@
+Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
+Normal rank
@@ Property / cites work @@
+PORTFOLIO CHOICE VIA QUANTILES
@@ Property / cites work: PORTFOLIO CHOICE VIA QUANTILES / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-risk portfolio selection
@@ Property / cites work: Continuous-time mean-risk portfolio selection / rank @@
+Normal rank
@@ Property / cites work @@
+BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
@@ Property / cites work: BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME / rank @@
+Normal rank
@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
+Normal rank
@@ Property / cites work @@
+External Risk Measures and Basel Accords
@@ Property / cites work: External Risk Measures and Basel Accords / rank @@
+Normal rank
@@ Property / cites work @@
+A dynamic programming approach to constrained portfolios
+Normal rank
@@ Property / cites work @@
+Q4228005
@@ Property / cites work: Q4228005 / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional value-at-risk in portfolio optimization: coherent but fragile
+Normal rank
@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
+Normal rank
@@ Property / cites work @@
+Safety First and the Holding of Assets
@@ Property / cites work: Safety First and the Holding of Assets / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios under a value-at-risk constraint
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4555169