Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control (Q2576693): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s00291-005-0195-9 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2014428927 / rank | |||
Normal rank | |||
Latest revision as of 19:13, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control |
scientific article |
Statements
Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control (English)
0 references
14 December 2005
0 references
Consumption and investment problems
0 references
Stochastic programming
0 references
MGARCH model
0 references
CVaR risk measure
0 references
Transaction costs
0 references
