Recursive risk measures under regime switching applied to portfolio selection

DOI10.1080/14697688.2016.1267393zbMath1402.91673OpenAlexW2588472745MaRDI QIDQ4555153

Jia Liu, Zhiping Chen, Yong-Chang Hui

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1267393

zbMATH Keywords

regime switchingfactor modelconditional value-at-risktime consistencydynamic portfolio selectionrecursive risk measure

Mathematics Subject Classification ID

Portfolio theory (91G10)

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