Continuous time portfolio selection under conditional capital at risk
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Publication:609731
DOI10.1155/2010/976371zbMath1200.91279OpenAlexW2030612922WikidataQ58652732 ScholiaQ58652732MaRDI QIDQ609731
Ali Lari-Lavassani, Antony Ware, Xun Li, Gordana Dmitrasinovic-Vidovic
Publication date: 1 December 2010
Published in: Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/233262
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Related Items (1)
Cites Work
- Asymptotic behaviour of mean-quantile efficient portfolios
- Convex measures of risk and trading constraints
- Dynamic coherent risk measures
- Optimal Portfolios with Bounded Capital at Risk
- Application of Coherent Risk Measures to Capital Requirements in Insurance
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