Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’

DOI10.1080/1350486x.2023.2224354zbMath1520.91367OpenAlexW4382072332MaRDI QIDQ6112770

Peter A. I. Forsyth, Kenneth Vetzal

Publication date: 7 August 2023

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2023.2224354

zbMATH Keywords

optimal controlexpected shortfallasset allocationtail riskresampled backtestsapparent alpha

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Portfolio theory (91G10)

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