Optimal portfolios under dynamic shortfall constraints (Q635004)
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scientific article; zbMATH DE number 5939886
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| default for all languages | No label defined |
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| English | Optimal portfolios under dynamic shortfall constraints |
scientific article; zbMATH DE number 5939886 |
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Optimal portfolios under dynamic shortfall constraints (English)
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17 August 2011
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value-at-risk
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tail conditional eypectation
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dynamic portfolio and consumption choice
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risk measurement and management
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0.8580595254898071
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0.8541813492774963
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0.8065208196640015
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0.790841817855835
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