Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
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Publication:5112727
DOI10.1137/19M124650XzbMath1443.91341OpenAlexW3016603946MaRDI QIDQ5112727
Publication date: 8 June 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://cs.uwaterloo.ca/~paforsyt/mean_CVAR_new.pdf
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite difference methods for boundary value problems involving PDEs (65N06)
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