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标题:Dynamic mean–VaR portfolio selection in continuous time
时间:2020-11-21 22:37:12
DOI:10.1080/14697688.2017.1298831
大小:842 kb
页数:15 PAGES
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目录:
  • Abstract
  • 1. Introduction
  • 2. Problem formulation
  • 3. Solution to the dynamic mean-VaR problem
    • 3.1. Feasibility of problem (mathcalP MVaR(lambda, b))
    • 3.2. Optimal quantile of the terminal Wealth
    • 3.3. Mean–VaR efficient Frontier
  • 4. Explicit optimal policy with a deterministic opportunity set
  • 5. Extension to mean-reverting price process
  • 6. Illustrative examples
  • 7. Conclusion
  • Acknowledgements
  • Disclosure statement
  • Funding
  • References
  • Appendix 1.

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