| Multiperiod Mean-CVaR Portfolio Selection | |
| Cui, Xiangyu[1]; Shi, Yun[2] | |
| 2015 | |
| 会议名称 | 3rd International Conference on Modelling, Computation and Optimization in Information Systems and Management Sciences (MCO) |
| 会议日期 | 2015-01-01 |
| 关键词 | mean-CVaR pre-committed policy time consistency in efficiency time consistent policy linear programming integer programming |
| 页码 | 293-304 |
| URL标识 | 查看原文 |
| 内容类型 | 会议论文 |
| URI标识 | http://www.corc.org.cn/handle/1471x/2266952 |
| 专题 | 上海大学 |
| 作者单位 | 1.[1]Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China. 2.[2]Shanghai Univ, Sch Management, Shanghai, Peoples R China. |
| 推荐引用方式 GB/T 7714 | Cui, Xiangyu[1],Shi, Yun[2]. Multiperiod Mean-CVaR Portfolio Selection[C]. 见:3rd International Conference on Modelling, Computation and Optimization in Information Systems and Management Sciences (MCO). 2015-01-01. |
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