Multiperiod portfolio investment using stochastic programming with conditional value at risk
Hung-Hsin Chen, Chang-Biau Yang
| Year of publication: |
May 2017
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|---|---|
| Authors: | Chen, Hung-Hsin ; Yang, Chang-Biau |
| Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 81.2017, p. 305-321
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| Subject: | Multiperiod portfolio investment | Stochastic programming | Conditional value at risk | Moment matching | Superior predictive ability | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Investition | Foreign portfolio investment | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2016.11.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011656256