Control of investment portfolio based on complex quantile risk measures

Author： Bronshtein E. Kachkaeva M. Tulupova E.

ISSN： 1064-2307

Source： Journal of Computer and Systems Sciences International, Vol.50, Iss.1, 2011-02, pp. : 174-180

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Optimal Control of the Investment Portfolio with Respect to the Quantile Criterion

By Grigor'ev P. V. Kan Yu. S.

Automation and Remote Control, Vol. 65, Iss. 2, 2004-02 ,pp. : 319-336

MAIK Nauka/Interperiodica

Access to resources Recommend Favorite

Quantile criterion-based control of the securities portfolio with a nonzero ruin probability

By Bunto T. Kan Yu.

Automation and Remote Control, Vol. 74, Iss. 5, 2013-05 ,pp. : 811-828

MAIK Nauka/Interperiodica

Access to resources Recommend Favorite

Security portfolio management based on combined entropic risk measures

By Bronshtein E. Kondrat’eva O.

Journal of Computer and Systems Sciences International, Vol. 52, Iss. 5, 2013-09 ,pp. : 837-841

MAIK Nauka/Interperiodica

Access to resources Recommend Favorite

Robust portfolio asset allocation and risk measures

By Scutellà Maria

Annals of Operations Research, Vol. 204, Iss. 1, 2013-04 ,pp. : 145-169

Springer Publishing Company

Access to resources Recommend Favorite

Dynamic Control of the Investment Portfolio in the Jump-Diffusion Financial Market with Regime Switching

By Gal’perin V. Dombrovsky V. Fedosov E.

Automation and Remote Control, Vol. 66, Iss. 5, 2005-05 ,pp. : 837-850

MAIK Nauka/Interperiodica

Access to resources Recommend Favorite