Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
Zhiping Chen, Jia Liu, Gang Li, Zhe Yan
| Year of publication: |
October 2016
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|---|---|
| Authors: | Chen, Zhiping ; Liu, Jia ; Li, Gang ; Yan, Zhe |
| Published in: |
Top : transactions in operations research. - [Berlin] : Springer, ISSN 1134-5764, ZDB-ID 1205918-3. - Vol. 24.2016, 3, p. 515-540
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| Subject: | Risk management | Multi-period risk measure | Portfolio selection | Scenario tree | Time consistency | Portfolio-Management | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risiko | Risk | Zeitkonsistenz |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11750-015-0407-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011671484