Time consistent multi-period robust risk measures and portfolio selection models with regime-switching (Q1754334)
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scientific article; zbMATH DE number 6876710
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| English | Time consistent multi-period robust risk measures and portfolio selection models with regime-switching |
scientific article; zbMATH DE number 6876710 |
Statements
Time consistent multi-period robust risk measures and portfolio selection models with regime-switching (English)
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30 May 2018
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risk management
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distributionally robust optimization
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multi-period risk measure
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regime switching
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dynamic portfolio selection
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0.8658355474472046
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0.8591147065162659
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0.8102008700370789
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0.7966337203979492
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