Multiperiod mean-CVaR portfolio selection (Q5356993)
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scientific article; zbMATH DE number 6774385
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Multiperiod mean-CVaR portfolio selection |
scientific article; zbMATH DE number 6774385 |
Statements
Multiperiod Mean-CVaR Portfolio Selection (English)
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12 September 2017
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mean-CVaR
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pre-committed policy
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time consistency in efficiency
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time consistent policy
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linear programming
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integer programming
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0.86435866355896
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0.8515048027038574
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0.849362313747406
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0.8391837477684021
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0.8387902975082397
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