Ambiguity and optimal portfolio choice with Value-at-Risk constraint
Year of publication: |
August 2016
|
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Authors: | Jang, Bong-Gyu ; Park, Seyoung |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 18.2016, p. 158-176
|
Subject: | Ambiguity aversion | Risk aversion | Value-at-Risk (VaR) | Optimal portfolio | Wealth management | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikoaversion | Risikomaß | Risk measure |
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