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

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+CPLEX
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+RiskMetrics
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+https://doi.org/10.1080/14697688.2017.1298831
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+W3125887435
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@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
+Normal rank
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+Stochastic finance. An introduction in discrete time
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@@ Property / cites work @@
+Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
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@@ Property / cites work @@
+Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
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+PORTFOLIO CHOICE VIA QUANTILES
@@ Property / cites work: PORTFOLIO CHOICE VIA QUANTILES / rank @@
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+Continuous-time mean-risk portfolio selection
@@ Property / cites work: Continuous-time mean-risk portfolio selection / rank @@
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@@ 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 @@
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@@ Property / cites work @@
+External Risk Measures and Basel Accords
@@ Property / cites work: External Risk Measures and Basel Accords / rank @@
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@@ Property / cites work @@
+A dynamic programming approach to constrained portfolios
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+Q4228005
@@ Property / cites work: Q4228005 / rank @@
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@@ Property / cites work @@
+Conditional value-at-risk in portfolio optimization: coherent but fragile
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@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
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+Safety First and the Holding of Assets
@@ Property / cites work: Safety First and the Holding of Assets / rank @@
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@@ Property / cites work @@
+Optimal portfolios under a value-at-risk constraint
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