Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR (Q2338542)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR |
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Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR (English)
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21 November 2019
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mean-risk portfolio choice
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conditional value-at-risk
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optimal investment strategies
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time-inconsistency
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time-consistency induced risk measure
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equity premium puzzle
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