Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time
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Publication:5346501
DOI10.1137/140955264zbMath1414.91338arXiv1402.3464OpenAlexW2137631553WikidataQ57445398 ScholiaQ57445398MaRDI QIDQ5346501
Li, Duan, Ke Zhou, Cao, Xiren, Jian-Jun Gao
Publication date: 24 May 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.3464
LPMstochastic controlmartingale approachCVaRconditional value-at-risk portfoliodynamic mean-downside risk portfolio optimizationlower-partial moments
Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Portfolio theory (91G10)
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