Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR
Year of publication: |
2017
|
---|---|
Authors: | Strub, Moris Simon |
Other Persons: | Li, Duan (contributor) ; Cui, Xiangyu (contributor) ; Gao, Jianjun (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Zinsstruktur | Yield curve | Portfolio-Management | Portfolio selection |
Extent: | 1 Online-Ressource (25 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprĂĽngliche Fassung des Dokuments September 21, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.3040517 [DOI] |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Scaling, unwinding and greening QE in a calibrated portfolio balance model
Riedler, Jesper, (2021)
-
A heterogeneous agents equilibrium model for the term structure of bond market liquidity
Schuster, Philipp, (2016)
-
Infrequent portfolio decisions : a solution to the forward discount puzzle
Bacchetta, Philippe, (2010)
- More ...
-
An Enhanced Mean-Variance Framework for Robo-Advising Applications
Strub, Moris Simon, (2020)
-
Optimal multi-period mean–variance policy under no-shorting constraint
Cui, Xiangyu, (2014)
-
Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu, (2014)
- More ...