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	Time Consistent Multi-period Worst-Case Risk Measure in Robust Portfolio Selection
	Liu, Jia; Chen, Zhi-Ping; Hui, Yong-Chang
刊名	Journal of the Operations Research Society of China
	2018
卷号	6页码:139-158
关键词	Conditional Value-at-Risk Dynamic portfolio selection Optimal investments Portfolio selection Portfolio selection models Portfolio selection problems Risk measures Robust optimization
ISSN号	2194-668X
URL标识	查看原文
内容类型	期刊论文
URI标识	http://www.corc.org.cn/handle/1471x/2920874
专题	西安交通大学
推荐引用方式 GB/T 7714	Liu, Jia,Chen, Zhi-Ping,Hui, Yong-Chang. Time Consistent Multi-period Worst-Case Risk Measure in Robust Portfolio Selection[J]. Journal of the Operations Research Society of China,2018,6:139-158.
APA	Liu, Jia,Chen, Zhi-Ping,&Hui, Yong-Chang.(2018).Time Consistent Multi-period Worst-Case Risk Measure in Robust Portfolio Selection.Journal of the Operations Research Society of China,6,139-158.
MLA	Liu, Jia,et al."Time Consistent Multi-period Worst-Case Risk Measure in Robust Portfolio Selection".Journal of the Operations Research Society of China 6(2018):139-158.

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