Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time (Q5346501): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 1402.3464 / rank | |||
Normal rank | |||
Revision as of 01:17, 20 April 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)
0 references
24 May 2017
0 references
dynamic mean-downside risk portfolio optimization
0 references
lower-partial moments
0 references
LPM
0 references
conditional value-at-risk portfolio
0 references
CVaR
0 references
stochastic control
0 references
martingale approach
0 references
