A note on P- vs. Q-expected loss portfolio constraints
Year of publication: |
2021
|
---|---|
Authors: | Gu, Jia-Wen ; Steffensen, Mogens ; Zheng, Harry |
Subject: | Expected loss constraint | Optimal Portfolio | Physical measure P | Q-strategy fulfilling P-risk constraint | Risk-neutral measure Q | Portfolio-Management | Portfolio selection | Theorie | Theory | Verlust | Loss | Liquiditätsbeschränkung | Liquidity constraint | Messung | Measurement | Risikomaß | Risk measure |
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