Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time

Jianjun Gao, Ke Zhou, Duan Li, Xi-Ren Cao. Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time. SIAM J. Control and Optimization, 55(3):1377-1397, 2017. [doi]

Abstract

Abstract is missing.