Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
type: Item
instance of: scholarly article
title: Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
zbMATH Open document ID: 1403.91316
author: Jia Liu
author: Zhiping Chen
published in: European Journal of Operational Research
publication date: 2018-05-30T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6876710
zbMATH Keywords: risk management
zbMATH Keywords: distributionally robust optimization
zbMATH Keywords: multi-period risk measure
zbMATH Keywords: regime switching
zbMATH Keywords: dynamic portfolio selection
MaRDI profile type: Publication
full work available at URL: j.ejor.2018.01.009
OpenAlex ID: W2782665533
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DOI: 10.1016/J.EJOR.2018.01.009
description: scientific article; zbMATH DE number 6876710