Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
Jia Liu, Zhiping Chen
| Year of publication: |
1 July 2018
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|---|---|
| Authors: | Liu, Jia ; Chen, Zhiping |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 268.2018, 1 (1.7.), p. 373-385
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| Subject: | Risk management | Distributionally robust optimization | Multi-period risk measure | Regime switching | Dynamic portfolio selection | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Robustes Verfahren | Robust statistics | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.01.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011813114