The cost of delay as risk measure in target-based multi-period portfolio selection models
Jia Liu, Zhiping Chen and Giorgio Consigli
| Year of publication: |
2024
|
|---|---|
| Authors: | Liu, Jia ; Chen, Zhiping ; Consigli, Giorgio |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 35.2024, 3, p. 345-377
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| Subject: | time delay risk measure | chance constraints | weak time consistency | portfolio selection | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Zeit | Time | Zeitkonsistenz | Time consistency |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpae001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014634191