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Dynamic Mean-Risk Portfolio Selection with Multiple Risk Measures in Continuous-Time

Gao, Jianjun - 2014

Different risk measures emphasize different aspects of a random loss. If we examine the investment performance according to different spectra of the risk measures, any policy generated from a mean-risk portfolio model with a sole risk measure may not be a good choice. We study in this paper the...

Persistent link: https://www.econbiz.de/10013060493