Dynamic portfolio choice when risk is measured by weighted VaR (Q3449459)
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scientific article; zbMATH DE number 6504541
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| English | Dynamic portfolio choice when risk is measured by weighted VaR |
scientific article; zbMATH DE number 6504541 |
Statements
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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0.8542853593826294
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0.797455906867981
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0.7909770607948303
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0.7871209979057312
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0.777948796749115
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