Multi-period mean expected-shortfall strategies : "cut your losses and ride your gains"
Peter A. Forsyth and Kenneth R. Vetzal
| Year of publication: |
2022
|
|---|---|
| Authors: | Forsyth, Peter ; Vetzal, Kenneth R. |
| Subject: | apparent alpha | asset allocation | expected shortfall | Optimal control | resampled backtests | tail risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Anlageverhalten | Behavioural finance | Risikomanagement | Risk management |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2023.2224354 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014323484