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RISK-REWARD OPTIMIZATION WITH DISCRETE-TIME COHERENT RISK - MaRDI portal

RISK-REWARD OPTIMIZATION WITH DISCRETE-TIME COHERENT RISK (Q3161735)

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English
RISK-REWARD OPTIMIZATION WITH DISCRETE-TIME COHERENT RISK
scientific article

    Statements

    title
    RISK-REWARD OPTIMIZATION WITH DISCRETE-TIME COHERENT RISK (English)
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    publication date
    15 October 2010
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    zbMATH Keywords
    conditionally Gaussian model
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    dynamic coherent risk measure
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    dynamic weighted V\(\@\)R
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    risk-reward optimization
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    Identifiers

    zbMATH DE Number
    5800695
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    OpenAlex ID
    W1594067030
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