Portfolio selection based on a benchmark process with dynamic value-at-risk constraints (Q344301)
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scientific article; zbMATH DE number 6655217
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio selection based on a benchmark process with dynamic value-at-risk constraints |
scientific article; zbMATH DE number 6655217 |
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Portfolio selection based on a benchmark process with dynamic value-at-risk constraints (English)
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22 November 2016
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benchmark process
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Hamilton-Jacobi-Bellman (HJB) equation
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dynamic value-at-risk (VaR)
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Lagrange multiplier method
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