Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time (Q5346501): Difference between revisions
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Revision as of 21:28, 19 March 2024
scientific article; zbMATH DE number 6722991
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time |
scientific article; zbMATH DE number 6722991 |
Statements
Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time (English)
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24 May 2017
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dynamic mean-downside risk portfolio optimization
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lower-partial moments
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LPM
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conditional value-at-risk portfolio
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CVaR
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stochastic control
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martingale approach
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