Yan Xiong

Shanghai Jiao Tong University

KoGuan Law School

Shanghai 200030, Shanghai 200052

China

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Dynamic Mean-Risk Portfolio Selection with Multiple Risk Measures in Continuous-Time

Number of pages: 36 Posted: 21 Jan 2014 Last Revised: 09 Feb 2014
Jianjun Gao, Yan Xiong and Duan Li
Shanghai University of Finance and Economics, Shanghai Jiao Tong University and Chinese University of Hong Kong
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Abstract:

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Dynamic Portfolio Optimization, Mean-Risk Model, Mean-CVaR, Mean-Variance