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]
@article{GaoZLC17,
title = {Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time},
author = {Jianjun Gao and Ke Zhou and Duan Li and Xi-Ren Cao},
year = {2017},
doi = {10.1137/140955264},
url = {https://doi.org/10.1137/140955264},
researchr = {https://researchr.org/publication/GaoZLC17},
cites = {0},
citedby = {0},
journal = {SIAM J. Control and Optimization},
volume = {55},
number = {3},
pages = {1377-1397},
}