Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios
Li Yang, Zhiping Chen and Qianhui Hu
| Year of publication: |
2014
|
|---|---|
| Authors: | Li Yang ; Chen, Zhiping ; Hu, Qianhui |
| Published in: |
China finance review international. - Bingley : Emerald, ISSN 2044-1398, ZDB-ID 2681650-7. - Vol. 4.2014, 4, p. 360-384
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| Subject: | Scenarios | Risk management | Investment analysis | Generalized convex multi-period risk measure | Multi-period investment decision | Scenario tree generation approach | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risikomanagement | Investitionsentscheidung | Investment decision | Risiko | Risk | Messung | Measurement | Dynamische Optimierung | Dynamic programming |
| 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/10011339001