Portfolio selection based on a benchmark process with dynamic value-at-risk constraints (Q344301): Difference between revisions
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Revision as of 00:03, 5 March 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)
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22 November 2016
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benchmark process
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Hamilton-Jacobi-Bellman (HJB) equation
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dynamic value-at-risk (VaR)
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Lagrange multiplier method
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