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标题:Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
时间:2020-11-22 14:55:04
DOI:10.1287/moor.2014.0695
大小:909 kb
页数:26 PAGES
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目录:
  • Introduction.
  • Risk measures on the space of lower-bounded random variables.
  • Mean-WVaR portfolio choice model.
    • A continuous-time market.
    • Mean-WVaR portfolio choice problem.
    • Optimal solutions.
  • Mean-WVaR portfolio choice with bankruptcy prohibition.
  • Mean-risk portfolio choice with law-invariant coherent risk measures.
  • Examples.
  • Discussions and conclusions
    • Comparison with mean-variance problems.
    • Comparison with Cuoco et al. CuocoEtal2008:OptimalDynamicTrading.
    • Conclusions.

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