Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversion
Year of publication: |
2023
|
---|---|
Authors: | Guo, Xiaoshi ; Ryan, Sarah M. |
Published in: |
The engineering economist : a journal devoted to the problems of capital investment. - Philadelphia, Pa. : Taylor & Francis, ISSN 1547-2701, ZDB-ID 2066279-8. - Vol. 68.2023, 3, p. 125-152
|
Subject: | Theorie | Theory | Risikoaversion | Risk aversion | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Risiko | Risk |
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