Name
Title | ||
|---|---|---|
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time. |
Abstract | ||
|---|---|---|
•Study dynamic portfolio selection with multiple risk measures in continuous-time.•Help investors control both central-moment risk measure and downside risk measure.•Solve analytically dynamic mean-variance-CVaR formulation.•Solve analytically dynamic mean-variance-SFP (Safety-First Principle) formulation.•Reveal a curved V-shape property in optimal portfolio policies of our models. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1016/j.ejor.2015.09.005 | European Journal of Operational Research |
Keywords | Field | DocType |
Dynamic mean-risk portfolio selection,Conditional value at risk,Safety-first principle,Stochastic optimization,Martingale approach | Spectral risk measure,Economics,Mathematical optimization,Downside risk,Replicating portfolio,Modern portfolio theory,Portfolio optimization,Dynamic risk measure,Deviation risk measure,Expected shortfall | Journal |
Volume | Issue | ISSN |
249 | 2 | 0377-2217 |
Citations | PageRank | References |
5 | 0.50 | 14 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jianjun Gao | 1 | 51 | 11.33 |
| Yan Xiong | 2 | 5 | 1.18 |
| Duan Li | 3 | 56 | 12.31 |