Multi-period portfolio optimization under probabilistic risk measure
Yufei Sun, Grace Aw, Kok Lay Teo, Yanjian Zhu, Xiangyu Wang
| Year of publication: |
August 2016
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|---|---|
| Authors: | Sun, Yufei ; Aw, Grace ; Teo, Kok Lay ; Zhu, Yanjian ; Wang, Xiangyu |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 18.2016, p. 60-66
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| Subject: | Portfolio optimization | Probability risk measure | Discrete-time optimal control | Dynamic programming | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Risiko | Risk | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.04.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011656525