Optimal portfolios under a value-at-risk constraint (Q953643)
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scientific article; zbMATH DE number 5362800
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal portfolios under a value-at-risk constraint |
scientific article; zbMATH DE number 5362800 |
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Optimal portfolios under a value-at-risk constraint (English)
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6 November 2008
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optimal portfolio
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value-at-risk
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dynamic programming
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0.9553847908973694
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0.8623531460762024
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0.8605675101280212
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0.8561230301856995
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0.8528698682785034
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