DYNAMIC CVAR WITH MULTI-PERIOD RISK PROBLEMS

来源 :系统科学与复杂性学报(英文版) | 被引量 : 0次 | 上传用户:wujunming123123
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This paper studies multi-period risk management problems by presenting a dynamic risk measure.This risk measure is the sum of conditional value-at-risk of each period.The authors model it by Markov decision processes and derive its optimality equation.This equation is further transformed equivalently to an analytically tractable one.The authors then use the model and its results to a multi-period portfolio optimization when the ret rate vectors at each period form a Markov chain.
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