Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR

Xue Dong He, Hanqing Jin, Xun Yu Zhou. Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR. Math. Oper. Res., 40(3):773-796, 2015. [doi]

Authors

Xue Dong He

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Hanqing Jin

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Xun Yu Zhou

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