Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ (Q6112770)
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scientific article; zbMATH DE number 7723601
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ |
scientific article; zbMATH DE number 7723601 |
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Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ (English)
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7 August 2023
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optimal control
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expected shortfall
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apparent alpha
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tail risk
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asset allocation
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resampled backtests
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