Composite time-consistent multi-period risk measure and its application in optimal portfolio selection

DOI10.1007/s11750-015-0407-7zbMath1409.91130OpenAlexW2202076194MaRDI QIDQ518437

Zhe Yan, Zhiping Chen, Jia Liu, Gang Li

Publication date: 28 March 2017

Published in: Top (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11750-015-0407-7

zbMATH Keywords

scenario treeportfolio selectionrisk managementtime consistencymulti-period risk measure

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Recursive risk measures under regime switching applied to portfolio selection ⋮ Time consistent multi-period worst-case risk measure in robust portfolio selection ⋮ SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ Massively parallel processing of recursive multi-period portfolio models ⋮ Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection ⋮ Multiperiod mean absolute deviation uncertain portfolio selection with real constraints ⋮ MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES

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