Dynamic portfolio choice when risk is measured by weighted VaR
Year of publication: |
2015
|
---|---|
Authors: | He, Xue Dong ; Jin, Hanqing ; Zhou, Xun Yu |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 40.2015, 3, p. 773-796
|
Subject: | mean-risk portfolio choice | weighted value-at-risk | coherent risk measures | well-posedness | optimal investment strategies | binary and ternary payoffs | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement |
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