Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Moris S. Strub, Duan Li, Xiangyu Cui, Jianjun Gao
| Year of publication: |
2019
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|---|---|
| Authors: | Strub, Moris S. ; Li, Duan ; Cui, Xiangyu ; Gao, Jianjun |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 108.2019, p. 1-21
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| Subject: | Conditional value-at-risk | Equity premium puzzle | Mean-risk portfolio choice | Optimal investment strategies | Time-consistency induced risk measure | Time-inconsistency | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Zeitkonsistenz | Time consistency | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Equity-Premium-Puzzle |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2019.103751 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012313656