Dynamic portfolio selection with process control

Journal of Banking and Finance

Volumn 30, Issue 2, 2006, Pages 317-339

  MacLean, Leonard ^a   Zhao, Yonggan ^b   Ziemba, William ^c,d  

^a DALHOUSIE UNIVERSITY   (Canada)

^b NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

^c UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^d MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Conditional value at risk; Dynamic portfolio selection; Fractional Kelly strategy; Growth and security; Process control; Risk control strategies; Value at risk

Indexed keywords

EID: 32944464354     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.04.002     Document Type: Article

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