Multi-period mean expected-shortfall strategies : "cut your losses and ride your gains"
Year of publication: |
2022
|
---|---|
Authors: | Forsyth, Peter A. ; Vetzal, Kenneth R. |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 29.2022, 5, p. 402-438
|
Subject: | apparent alpha | asset allocation | expected shortfall | Optimal control | resampled backtests | tail risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risikomanagement | Risk management | Statistischer Test | Statistical test |
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