On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation (Q2412393): Difference between revisions
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Revision as of 17:27, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation |
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On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation (English)
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23 October 2017
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spectral risk measure
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dynamic risk measure
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\(g\)-expectation
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Choquet expectation
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distortion
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(strong) time-consistency
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limit theorem
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dynamic portfolio optimisation
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