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

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+Coherent Measures of Risk
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+A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
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+Stochastic finance. An introduction in discrete time
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+Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
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+Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
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+PORTFOLIO CHOICE VIA QUANTILES
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+Continuous-time mean-risk portfolio selection
@@ Property / cites work: Continuous-time mean-risk portfolio selection / rank @@
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+BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
@@ Property / cites work: BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME / rank @@
+Normal rank
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+Q4368791
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+External Risk Measures and Basel Accords
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+A dynamic programming approach to constrained portfolios
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+Q4228005
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+Conditional value-at-risk in portfolio optimization: coherent but fragile
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+Continuous-time stochastic control and optimization with financial applications
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+Safety First and the Holding of Assets
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+Optimal portfolios under a value-at-risk constraint
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