Portfolio selection based on a benchmark process with dynamic value-at-risk constraints (Q344301): Difference between revisions
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| Property / author | |||
| Property / author: Yan Gao / rank | |||
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 90C39 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / zbMATH DE Number: 6655217 / rank | |||
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benchmark process | |||
| Property / zbMATH Keywords: benchmark process / rank | |||
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Hamilton-Jacobi-Bellman (HJB) equation | |||
| Property / zbMATH Keywords: Hamilton-Jacobi-Bellman (HJB) equation / rank | |||
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dynamic value-at-risk (VaR) | |||
| Property / zbMATH Keywords: dynamic value-at-risk (VaR) / rank | |||
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Lagrange multiplier method | |||
| Property / zbMATH Keywords: Lagrange multiplier method / rank | |||
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Revision as of 06:56, 28 June 2023
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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