Dynamic mean-variance portfolios with risk budget (Q5221483)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Dynamic mean-variance portfolios with risk budget |
scientific article; zbMATH DE number 7182445
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Dynamic mean-variance portfolios with risk budget |
scientific article; zbMATH DE number 7182445 |
Statements
DYNAMIC MEAN-VARIANCE PORTFOLIOS WITH RISK BUDGET (English)
0 references
26 March 2020
0 references
portfolio selection
0 references
value-at-risk
0 references
expected shortfall
0 references
median shortfall
0 references
Hamilton-Jacobi-Bellman equation
0 references
certainty equivalence
0 references
0.8100913763046265
0 references
0.8084755539894104
0 references
0.8051570653915405
0 references
0.8041436076164246
0 references
