Multiperiod Mean-CVaR Portfolio Selection
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Publication:5356993
DOI10.1007/978-3-319-18161-5_25zbMath1371.91153MaRDI QIDQ5356993
Publication date: 12 September 2017
Published in: Advances in Intelligent Systems and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-18161-5_25
linear programming; integer programming; mean-CVaR; time consistent policy; time consistency in efficiency; pre-committed policy
Related Items
Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?, Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
Cites Work
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