Dynamic mean-variance portfolios with risk budget (Q5221483)
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scientific article; zbMATH DE number 7182445
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| default for all languages | No label defined |
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| English | Dynamic mean-variance portfolios with risk budget |
scientific article; zbMATH DE number 7182445 |
Statements
DYNAMIC MEAN-VARIANCE PORTFOLIOS WITH RISK BUDGET (English)
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26 March 2020
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portfolio selection
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value-at-risk
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expected shortfall
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median shortfall
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Hamilton-Jacobi-Bellman equation
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certainty equivalence
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0.8100913763046265
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0.8084755539894104
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0.8051570653915405
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0.8041436076164246
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