Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Jianjun Gao, Yan Xiong, Duan Li
| Year of publication: |
2016
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|---|---|
| Authors: | Gao, Jianjun ; Xiong, Yan ; Li, Duan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 249.2016, 2 (1.3.), p. 647-656
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| Subject: | Dynamic mean-risk portfolio selection | Conditional value at risk | Safety-first principle | Stochastic optimization | Martingale approach | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Risiko | Risk | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.09.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011436797