Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time

Instead of controlling "symmetric" risks measured by central moments of investment return or terminal wealth, more and more portfolio models have shifted their focus to manage "asymmetric" downside risks that the investment return is below certain threshold. Among the existing do...

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Bibliographische Detailangaben

Hauptverfasser:	Gao, Jianjun, Zhou, Ke, Li, Duan, Cao, Xiren
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Portfolio Management
Online-Zugang:	Volltext bestellen
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