Portfolio selection based on a benchmark process with dynamic value-at-risk constraints (Q344301): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q250887 |
||
| Property / author | |||
| Property / author: Yan Gao / rank | |||
Revision as of 21:32, 11 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio selection based on a benchmark process with dynamic value-at-risk constraints |
scientific article |
Statements
Portfolio selection based on a benchmark process with dynamic value-at-risk constraints (English)
0 references
22 November 2016
0 references
benchmark process
0 references
Hamilton-Jacobi-Bellman (HJB) equation
0 references
dynamic value-at-risk (VaR)
0 references
Lagrange multiplier method
0 references
