A note on P- vs. Q-expected loss portfolio constraints
Jia-Wen Gu, Mogens Steffensen, Harry Zheng
| Year of publication: |
2021
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|---|---|
| Authors: | Gu, Jia-Wen ; Steffensen, Mogens ; Zheng, Harry |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 2, p. 263-270
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| Subject: | Expected loss constraint | Optimal Portfolio | Physical measure P | Q-strategy fulfilling P-risk constraint | Risk-neutral measure Q | Theorie | Theory | Portfolio-Management | Portfolio selection | Messung | Measurement | Verlust | Loss | Liquiditätsbeschränkung | Liquidity constraint |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1764086 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012424588