Dynamic CVAR with multi-period risk problems
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Publication:2392648
DOI10.1007/s11424-011-9010-7zbMath1269.93137OpenAlexW1979106885MaRDI QIDQ2392648
Zhiqing Meng, Qiying Hu, Min Jiang
Publication date: 2 August 2013
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-011-9010-7
Markov decision processesoptimal policyoptimality equationmulti-period portfolio optimization\(\alpha\)-conditional value at risk (CVAR)multi-period risk problems
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