Dynamic mean-variance portfolios with risk budget
Year of publication: |
2020
|
---|---|
Authors: | Luo, Sheng-Feng |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 1, p. 1-16
|
Subject: | Portfolio selection | value-at-risk | expected shortfall | median shortfall | Hamilton-Jacobi-Bellman equation | certainty equivalence | Theorie | Theory | Portfolio-Management | Risikomaß | Risk measure |
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