On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
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Publication:2412393
DOI10.1007/s00780-017-0339-1zbMath1422.91783arXiv1301.3531OpenAlexW2469489933WikidataQ59527772 ScholiaQ59527772MaRDI QIDQ2412393
D. Madan, Mitja Stadje, Martijn R. Pistorius
Publication date: 23 October 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.3531
limit theoremdistortion\(g\)-expectationdynamic risk measurespectral risk measureChoquet expectation(strong) time-consistencydynamic portfolio optimisation
Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)
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