Dynamic portfolio selection under EaR

MaRDI QIDQ3640527zbMATH OpenFDO

Authors Yonghui Zhai, Haifeng Yan

Publication date 11 November 2009

zbMATH Keywords

Black-Scholes finance marketdynamic portfolioearnings at riskportfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(3)

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• Optimal dynamic portfolio selection with earnings-at-risk

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