Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR (Q3449459)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR |
scientific article |
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Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR (English)
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4 November 2015
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mean-risk portfolio choice
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weighted value-at-risk
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coherent risk measures
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well-posedness
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optimal investment strategies
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binary and ternary payoffs
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