Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
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Publication:321015
DOI10.1016/j.ejor.2015.09.005zbMath1346.91204OpenAlexW3122337495WikidataQ57445407 ScholiaQ57445407MaRDI QIDQ321015
Yan Xiong, Li, Duan, Jian-Jun Gao
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.09.005
stochastic optimizationmartingale approachconditional value at risksafety-first principledynamic mean-risk portfolio selection
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