A decomposition method for optimal portfolios with regime-switching and risk constraint
Jingzhen Liu, Ka-Fai Cedric Yiu and Tak Kuen Siu
| Year of publication: |
2012
|
|---|---|
| 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: | Theorie | Theory | Portfolio-Management | Portfolio selection | Dekompositionsverfahren | Decomposition method | Risikomaß | Risk measure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009704597