Dynamic Portfolio Optimization with Bounded Shortfall Risks (Q5316803): Difference between revisions

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Latest revision as of 15:24, 10 June 2024

scientific article; zbMATH DE number 2205423
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English
Dynamic Portfolio Optimization with Bounded Shortfall Risks
scientific article; zbMATH DE number 2205423

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    Dynamic Portfolio Optimization with Bounded Shortfall Risks (English)
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    15 September 2005
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    expected loss
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    martingale method
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    portfolio optimization
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    risk constraints
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    stochastic optimal control
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    value at risk
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