The optimal mean-variance investment strategy under value-at-risk constraints (Q2445346)
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scientific article
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| English | The optimal mean-variance investment strategy under value-at-risk constraints |
scientific article |
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The optimal mean-variance investment strategy under value-at-risk constraints (English)
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14 April 2014
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value-at-risk
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mean-variance portfolio
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Hamilton-Jacobi-Bellman equation
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optimal investment strategy
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0.8968315720558167
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0.8689219951629639
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0.868049681186676
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0.8624100089073181
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0.8623531460762024
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