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zbMath1399.91092MaRDI QIDQ3133725

Daniel Akume, Ralf Wunderlich, Bernd Luderer

Publication date: 5 February 2018

Full work available at URL: http://www.emis.de/journals/SMA/v05/a12.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

portfolio optimization risk management tail conditional expectation dynamic risk constraints

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

Optimal payoffs for directionally closed acceptance sets ⋮ Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading

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