Search Results - subject:"Conditional value-at-risk constraints"

Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns

Valladão, Davi; Silva, Thuener; Poggi, Marcus - In: Application of operations research to financial markets, (pp. 379-405). 2019

Persistent link: https://www.econbiz.de/10012160031

Limiting losses may be injurious to your wealth

Grauer, Robert R. - In: Journal of Banking & Finance 37 (2013) 12, pp. 5088-5100

–2008 period. In addition, it examines the expected and unexpected long-run consequences of imposing Conditional Value at Risk … constraints on power-utility and prospect-theory (kinked linear-utility) investors. …

Persistent link: https://www.econbiz.de/10010709494

Limiting losses may be injurious to your wealth

Grauer, Robert R. - In: Journal of banking & finance 37 (2013) 12, pp. 5088-5100

Persistent link: https://www.econbiz.de/10010342790