Dynamic portfolio choice when risk is measured by weighted VaR
Xue Dong He; Hanqing Jin; Xun Yu Zhou
| Year of publication: |
2015
|
|---|---|
| Authors: | He, Xue Dong ; Jin, Hanqing ; Zhou, Xun Yu |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 40.2015, 3, p. 773-796
|
| Subject: | mean-risk portfolio choice | weighted value-at-risk | coherent risk measures | well-posedness | optimal investment strategies | binary and ternary payoffs | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Anlageverhalten | Behavioural finance | Risiko | Risk | Messung | Measurement |
| 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://www.econbiz.de/10011338687