Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
type: Item
instance of: scholarly article
title: Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
zbMATH Open document ID: 1409.91130
author: Zhiping Chen
author: Zhe Yan
author: Jia Liu
author: Gang Li
published in: Top
publication date: 2017-03-28T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6697775
zbMATH Keywords: risk management
zbMATH Keywords: multi-period risk measure
zbMATH Keywords: portfolio selection
zbMATH Keywords: scenario tree
zbMATH Keywords: time consistency
MaRDI profile type: Publication
full work available at URL: s11750-015-0407-7
OpenAlex ID: W2202076194
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DOI: 10.1007/S11750-015-0407-7
description: scientific article; zbMATH DE number 6697775