A decomposition method for optimal portfolios with regime-switching and risk constraint
Year of publication: |
2012
|
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Authors: | Liu, Jingzhen ; Yiu, Ka-fai Cedric ; Siu, Tak Kuen |
Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 3.2012, 4, p. 269-276
|
Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Dekompositionsverfahren | Decomposition method | Risikomaß | Risk measure | Markov-Kette | Markov chain | Risiko | Risk |
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