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

页码：571 / 595

页数：25

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