Recursive risk measures under regime switching applied to portfolio selection (Q4555153)
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scientific article; zbMATH DE number 6981267
Language | Label | Description | Also known as |
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English | Recursive risk measures under regime switching applied to portfolio selection |
scientific article; zbMATH DE number 6981267 |
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Recursive risk measures under regime switching applied to portfolio selection (English)
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19 November 2018
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time consistency
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recursive risk measure
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regime switching
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dynamic portfolio selection
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conditional value-at-risk
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factor model
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