Optimal dynamic asset allocation with lower partial moments criteria and affine policies
Giuseppe Carlo Calafiore
| Year of publication: |
2015
|
|---|---|
| Authors: | Calafiore, Giuseppe Carlo |
| Published in: |
International journal of financial engineering and risk management. - Olney : Inderscience, ISSN 2049-0909, ZDB-ID 2735250-X. - Vol. 2.2015, 2, p. 87-108
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| Subject: | dynamic asset allocation | multi-period portfolio optimisation | asymmetric risk measures | optimisation with recourse | scenario optimisation | convex optimisation | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming | Risikomaß | Risk measure |
| 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/10011527489