Optimal portfolios under a value-at-risk constraint (Q953643)

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Optimal portfolios under a value-at-risk constraint
scientific article

    Statements

    title
    Optimal portfolios under a value-at-risk constraint (English)
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    publication date
    6 November 2008
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    zbMATH Keywords
    optimal portfolio
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    value-at-risk
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    dynamic programming
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    author
    Ka-Fai Cedric Yiu
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    49L20
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    91B30
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    91G60
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    zbMATH DE Number
    5362800
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