Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio (Q3120383)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio |
scientific article |
Statements
Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio (English)
0 references
1 March 2019
0 references
dynamic stochastic portfolio optimization
0 references
Hamilton-Jacobi-Bellman equation
0 references
conditional value-at-risk
0 references
CVaRD-based Sharpe ratio
0 references
