Composite time-consistent multi-period risk measure and its application in optimal portfolio selection (Q518437)
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scientific article; zbMATH DE number 6697775
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Composite time-consistent multi-period risk measure and its application in optimal portfolio selection |
scientific article; zbMATH DE number 6697775 |
Statements
Composite time-consistent multi-period risk measure and its application in optimal portfolio selection (English)
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28 March 2017
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risk management
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multi-period risk measure
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portfolio selection
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scenario tree
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time consistency
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