Dynamic Portfolio Optimization with Bounded Shortfall Risks (Q5316803)
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scientific article; zbMATH DE number 2205423
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Dynamic Portfolio Optimization with Bounded Shortfall Risks |
scientific article; zbMATH DE number 2205423 |
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Dynamic Portfolio Optimization with Bounded Shortfall Risks (English)
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15 September 2005
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expected loss
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martingale method
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portfolio optimization
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risk constraints
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stochastic optimal control
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value at risk
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0.9676655530929564
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0.8656415939331055
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0.8617721199989319
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0.8594785928726196
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0.8546535968780518
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