Dynamic Portfolio Optimization with Bounded Shortfall Risks (Q5316803): Difference between revisions
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Revision as of 19:47, 5 March 2024
scientific article; zbMATH DE number 2205423
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic Portfolio Optimization with Bounded Shortfall Risks |
scientific article; zbMATH DE number 2205423 |
Statements
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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