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

zbMATH Open1289.91150MaRDI QIDQ2850404FDOQ2850404

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)

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zbMATH Keywords

portfoliorisk measureasset

Mathematics Subject Classification ID

Portfolio theory (91G10)

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

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