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Dynamic mean–VaR portfolio selection in continuous time - MaRDI portal

Dynamic mean–VaR portfolio selection in continuous time (Q4555169)

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scientific article; zbMATH DE number 6981279
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Dynamic mean–VaR portfolio selection in continuous time
scientific article; zbMATH DE number 6981279

    Statements

    title
    Dynamic mean–VaR portfolio selection in continuous time (English)
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    author
    Ke Zhou
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    Jiangjun Gao
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    Li, Duan
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    Xiangyu Cui
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    publication date
    19 November 2018
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    zbMATH Keywords
    continuous time models
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    martingales
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    portfolio optimization
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    risk management
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    value at risk
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    describes a project that uses
    CPLEX
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    RiskMetrics
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    Identifiers

    zbMATH DE Number
    6981279
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    Wikidata QID
    Q57445399
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    OpenAlex ID
    W3125887435
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