Search Results - subject:"Generalized convex multi-period risk measure"

Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

Yang, Li; Chen, Zhiping; Hu, Qianhui - In: China Finance Review International 4 (2014) 4, pp. 360-384

convex multi-period risk measure, then constructs a multi-period portfolio selection model based on the new multi-period risk … problems in practice. Originality/value – The paper first derives the concrete structure of the time consistent generalized …

Persistent link: https://www.econbiz.de/10014694741

Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

Yang, Li; Chen, Zhiping; Hu, Qianhui - In: China Finance Review International 4 (2014), pp. 360-384

convex multi-period risk measure, then constructs a multi-period portfolio selection model based on the new multi-period risk … problems in practice. Originality/value–The paper first derives the concrete structure of the time consistent generalized …

Persistent link: https://www.econbiz.de/10010960135

Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

Li Yang; Chen, Zhiping; Hu, Qianhui - In: China finance review international 4 (2014) 4, pp. 360-384

Persistent link: https://www.econbiz.de/10011339001