RISK-REWARD OPTIMIZATION WITH DISCRETE-TIME COHERENT RISK

被引：3
|
作者：
Cherny, Alexander S. [1 ]
机构：
[1] Moscow MV Lomonosov State Univ, Dept Probabil Theory, Fac Mech & Math, Moscow 119992, Russia
来源：
MATHEMATICAL FINANCE | 2010年 / 20卷 / 04期
关键词：
conditionally Gaussian model; dynamic coherent risk measure; dynamic Weighted V@R; risk-reward optimization; CAPITAL ALLOCATION;
D O I：
10.1111/j.1467-9965.2010.00412.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We solve the risk-reward optimization problem in the discrete-time setting, the reward being measured as the expected Profit and Loss and the risk being measured by a dynamic coherent risk measure.
引用
收藏
页码：571 / 595
页数：25
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