Optimal dynamic portfolio with mean-CVaR criterion
Year of publication: |
2013
|
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Authors: | Li, Jing ; Xu, Mingxin |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 1.2013, 3, p. 119-147
|
Subject: | conditional value-at-risk | mean-CVaR portfolio optimization | risk minimization | Neyman–Pearson problem | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Risiko | Risk |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | 10.3390/risks1030119 [DOI] hdl:10419/103606 [Handle] |
Classification: | G11 - Portfolio Choice ; G32 - Financing Policy; Capital and Ownership Structure ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: | ECONIS - Online Catalogue of the ZBW |
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