Optimal portfolios under a value-at-risk constraint (Q953643): Difference between revisions
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| Property / author: Ka-Fai Cedric Yiu / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / cites work: Q4220711 / rank | |||
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| Property / cites work: Q3995886 / rank | |||
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| Property / cites work: Optimal Portfolios with Bounded Capital at Risk / rank | |||
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| Property / cites work: Optimum consumption and portfolio rules in a continuous-time model / rank | |||
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| Property / full work available at URL: https://doi.org/10.1016/s0165-1889(03)00116-7 / rank | |||
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| Property / OpenAlex ID: W2115814664 / rank | |||
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Latest revision as of 10:31, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolios under a value-at-risk constraint |
scientific article |
Statements
Optimal portfolios under a value-at-risk constraint (English)
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6 November 2008
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optimal portfolio
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value-at-risk
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dynamic programming
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