Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR (Q2338542): Difference between revisions

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Latest revision as of 00:57, 21 July 2024

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Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
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    Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR (English)
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    21 November 2019
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    mean-risk portfolio choice
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    conditional value-at-risk
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    optimal investment strategies
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    time-inconsistency
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    time-consistency induced risk measure
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    equity premium puzzle
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