Optimal capital growth with convex shortfall penalties (Q5001113)
From MaRDI portal
scientific article; zbMATH DE number 7372387
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal capital growth with convex shortfall penalties |
scientific article; zbMATH DE number 7372387 |
Statements
Optimal capital growth with convex shortfall penalties (English)
0 references
16 July 2021
0 references
portfolio selection
0 references
capital growth
0 references
regime switching
0 references
convex penalty
0 references
value at risk
0 references
