Optimal consumption-portfolio problem with CVaR constraints (Q2410442): 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/10.1016/j.chaos.2016.07.015 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2489119625 / rank | |||
Normal rank | |||
Revision as of 21:08, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal consumption-portfolio problem with CVaR constraints |
scientific article |
Statements
Optimal consumption-portfolio problem with CVaR constraints (English)
0 references
18 October 2017
0 references
dynamic portfolio selection
0 references
conditional value at risk
0 references
Hamilton-Jacobi-Bellman equation
0 references
logarithmic utility function
0 references
