Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time (Q321015): Difference between revisions
From MaRDI portal
Normalize DOI. |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1016/J.EJOR.2015.09.005 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.EJOR.2015.09.005 / rank | |||
Normal rank | |||
Latest revision as of 14:19, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time |
scientific article |
Statements
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time (English)
0 references
7 October 2016
0 references
dynamic mean-risk portfolio selection
0 references
conditional value at risk
0 references
safety-first principle
0 references
stochastic optimization
0 references
martingale approach
0 references
0 references
