Precommitted strategies with initial-time and intermediate-time value-at-risk constraints (Q6636814)
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scientific article; zbMATH DE number 7942691
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Precommitted strategies with initial-time and intermediate-time value-at-risk constraints |
scientific article; zbMATH DE number 7942691 |
Statements
Precommitted strategies with initial-time and intermediate-time value-at-risk constraints (English)
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12 November 2024
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portfolio optimization
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expected utility maximization
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intermediate-time risk measure
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precommitted strategy
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value-at-risk
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pro-cyclicality
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compound options
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