A trade execution model under a composite dynamic coherent risk measure
Qihang Lin; Xi Chen; Javier Peña
| Year of publication: |
2015
|
|---|---|
| Authors: | Lin, Qihang ; Chen, Xi ; Peña, Javier |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 43.2015, 1, p. 52-58
|
| Subject: | Dynamic coherent risk measures | Trade execution | Risk-averse Markov decision process | Risikomaß | Risk measure | Theorie | Theory | Risiko | Risk | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010486353