Construction of the time consistent efficient portfolio of the conditional risk values

MaRDI QIDQ2850404zbMATH OpenFDO

Authors O. A. Galkina

Publication date 26 September 2013

Published in Visnyk. Seriya: Fizyko-Matematychni Nauky. Kyïvs'kyĭ Universytet Imeni Tarasa Shevchenka (Search for Journal in Brave)

zbMATH Keywords

portfoliorisk measureasset

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Time consistent dynamic risk measures
• Recursive risk measures under regime switching applied to portfolio selection
• Time consistency of the mean-risk problem
• Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
• Risk measures in the portfolio optimization problems

Cited in

(2)

• Two-stage portfolio optimization with higher-order conditional measures of risk
• Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility

This page was built for publication: Construction of the time consistent efficient portfolio of the conditional risk values

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2850404)