Dynamic value at risk under optimal and suboptimal portfolio policies.

Gianluca Fusai Elisa Luciano

Published in: Eur. J. Oper. Res. (2001)

Keyphrases

decision making
optimal portfolio
portfolio management
conditional expectation
dynamic programming
locally optimal
portfolio optimization
worst case
risk factors
globally optimal
portfolio theory
market data
optimal control
decision support system
lower bound
optimal solution
reinforcement learning