Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
Xiangyu Cui, Jianjun Gao, Yun Shi, Shushang Zhu
| Year of publication: |
2019
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|---|---|
| Authors: | Cui, Xiangyu ; Gao, Jianjun ; Shi, Yun ; Zhu, Shushang |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 276.2019, 2 (16.7.), p. 781-789
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| Subject: | Investment analysis | Conditional Value-at-Risk | Multi-period mean-CVaR portfolio selection | Time-consistent strategy | Self-coordination strategy | Theorie | Theory | Portfolio-Management | Portfolio selection | Experiment | Risikomaß | Risk measure | Zeitkonsistenz | Time consistency |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2019.01.045 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012003667