Junguo Lu

Shanghai Jiao Tong University (SJTU) - Department of Automation

800 Dongchuan Road

Shanghai

China

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Scholarly Papers (1)

1.

Dynamic mean-variance portfolio optimization with Value-at-Risk constraint in continuous-time

Number of pages: 27
affiliation not provided to SSRN, Fuzhou University - School of Economics and Management, Hunan University - Business School, Shanghai University of Finance and Economics and Shanghai Jiao Tong University (SJTU) - Department of Automation
Downloads 3 (723,597)

Abstract:

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Dynamic mean-variance portfolio selection, Value-at-risk, Martingale approach, Dynamic portfolio optimization