Recursive risk measures under regime switching applied to portfolio selection (Q4555153)
From MaRDI portal
scientific article; zbMATH DE number 6981267
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recursive risk measures under regime switching applied to portfolio selection |
scientific article; zbMATH DE number 6981267 |
Statements
Recursive risk measures under regime switching applied to portfolio selection (English)
0 references
19 November 2018
0 references
time consistency
0 references
recursive risk measure
0 references
regime switching
0 references
dynamic portfolio selection
0 references
conditional value-at-risk
0 references
factor model
0 references
0 references
0 references
