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Optimal consumption-portfolio problem with CVaR constraints - MaRDI portal

Optimal consumption-portfolio problem with CVaR constraints (Q2410442)

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scientific article
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Optimal consumption-portfolio problem with CVaR constraints
scientific article

    Statements

    title
    Optimal consumption-portfolio problem with CVaR constraints (English)
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    author
    Qingye Zhang
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    Yan Gao
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    publication date
    18 October 2017
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    zbMATH Keywords
    dynamic portfolio selection
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    conditional value at risk
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    Hamilton-Jacobi-Bellman equation
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    logarithmic utility function
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    cites work

    Identifiers

    Mathematics Subject Classification ID
    91G10
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    90C39
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    91G70
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    zbMATH DE Number
    6792591
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    OpenAlex ID
    W2489119625
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