Optimal portfolios under dynamic shortfall constraints

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zbMath1219.91123MaRDI QIDQ635004

Daniel Akume, Ralf Wunderlich, Bernd Luderer

Publication date: 17 August 2011

Published in: Afrika Statistika (Search for Journal in Brave)

zbMATH Keywords

value-at-risk dynamic portfolio and consumption choice risk measurement and management tail conditional eypectation

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Portfolio theory (91G10)

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