Time-consistency in managing a commodity portfolio: a dynamic risk measure approach
نویسندگان
چکیده
منابع مشابه
Time Consistent Recursive Risk Measures Under Regime Switching and Factor Models and Their Application in Dynamic Portfolio Selection∗
The proper description of dynamic information correlation among individual stages is very important for the construction of multi-period risk measure and the selection of optimal investment strategy. To overcome the limitations of existing random frameworks, we initially introduce a ”two-level” structure to describe the dynamic information evolution: the outer-level describes endogenous marcoma...
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تاریخ انتشار 2006