DYNAMIC MEAN-VARIANCE PORTFOLIOS WITH RISK BUDGET (Q5221483)
From MaRDI portal
scientific article; zbMATH DE number 7182445
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DYNAMIC MEAN-VARIANCE PORTFOLIOS WITH RISK BUDGET |
scientific article; zbMATH DE number 7182445 |
Statements
DYNAMIC MEAN-VARIANCE PORTFOLIOS WITH RISK BUDGET (English)
0 references
26 March 2020
0 references
portfolio selection
0 references
value-at-risk
0 references
expected shortfall
0 references
median shortfall
0 references
Hamilton-Jacobi-Bellman equation
0 references
certainty equivalence
0 references
