Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
详细信息 查看全文
- 作者：Jianjun Gaoa ; Yan Xionga ; Duan Li ; b ; dli@se.cuhk.edu.hk" class="auth_mail" title="E-mail the corresponding author
- 关键词：Dynamic mean-risk portfolio selection ; Conditional value at risk ; Safety-first principle ; Stochastic optimization ; Martingale approach
- 刊名：European Journal of Operational Research
- 出版年：2016
- 出版时间：1 March 2016
- 年：2016
- 卷：249
- 期：2
- 页码：647-656
- 全文大小：741 K
文摘
- •
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.