Recursive risk measures under regime switching applied to portfolio selection
From MaRDI portal
Publication:4555153
DOI10.1080/14697688.2016.1267393zbMath1402.91673MaRDI QIDQ4555153
Jia Liu, Zhiping Chen, Yong-Chang Hui
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1267393
regime switching; factor model; conditional value-at-risk; time consistency; dynamic portfolio selection; recursive risk measure
91G10: Portfolio theory
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