Strategic portfolio management with coherent risk measures for dynamic asset models

Proceedings of the Second IASTED International Conference on Financial Engineering and Applications

Volumn , Issue , 2004, Pages 114-123

  Herzog, Florian ^a   Geering, Hans P ^a   Schumann, Lorenz M ^b  

^a ETH ZURICH   (Switzerland)

^b SUVA   (Switzerland)

Author keywords

Optimization; Portfolio management; Risk analysis; Stochastic control; Time series analysis

Indexed keywords

COMPUTER SIMULATION; FINANCE; LINEAR PROGRAMMING; MATHEMATICAL MODELS; MATRIX ALGEBRA; MONTE CARLO METHODS; OPTIMIZATION; PROBLEM SOLVING; RANDOM PROCESSES; RISK ASSESSMENT; TIME SERIES ANALYSIS;

GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY (GARCH); PORTFOLIO MANAGEMENT; RISK ANALYSIS; STOCHASTIC CONTROL;

INDUSTRIAL MANAGEMENT;

EID: 11144345723     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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