Dynamic portfolio selection with linear control policies for coherent risk minimization
Year of publication: |
2023
|
---|---|
Authors: | Takano, Yuichi ; Gotoh, Jun-ya |
Subject: | Robust optimization | Coherent risk measure | Control policy | Portfolio selection | Portfolio-Management | Risikomaß | Risk measure | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risiko | Risk |
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