Optimal asset allocation: a worst scenario expectation approach
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Cites work
- scientific article; zbMATH DE number 1247838 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- A PDE approach for risk measures for derivatives with regime switching
- A PDE approach to risk measures of derivatives
- An Intertemporal Capital Asset Pricing Model
- COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
- Coherent measures of risk
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Risk measures via \(g\)-expectations
- Shortfall as a risk measure: properties, optimization and applications
Cited in
(5)- Robust portfolio optimization with multi-factor stochastic volatility
- Scenario optimization asset and liability modelling for individual investors
- Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting
- Optimal asset allocation: risk and information uncertainty
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