Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversion (Unknown)
Free access
- New search for: Guo, Xiaoshi
- New search for: Ryan, Sarah M.
- New search for: Guo, Xiaoshi
- New search for: Ryan, Sarah M.
In:
The Engineering Economist
;
68
, 3
;
125-152
;
2023
- Article (Journal) / Electronic Resource
-
Title:Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversion
-
Contributors:Guo, Xiaoshi ( author ) / Ryan, Sarah M. ( author )
-
Published in:The Engineering Economist ; 68, 3 ; 125-152
-
Publisher:
- New search for: Taylor & Francis
-
Publication date:2023-07-03
-
Size:28 pages
-
ISSN:
-
DOI:
-
Type of media:Article (Journal)
-
Type of material:Electronic Resource
-
Language:Unknown
-
Source:
Table of contents – Volume 68, Issue 3
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 123
-
Letter from the editorNachtmann, Heather et al. | 2023
- 125
-
Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversionGuo, Xiaoshi / Ryan, Sarah M. et al. | 2023
- 153
-
Optimization-based tail risk hedging of the S&P 500 indexHe, Yuehuan / Kwon, Roy et al. | 2023
- 169
-
The S curve: A dynamic view of in ERP evaluationWu, Liang-Hong / Ulhas, Khire Rushikesh / Tan, Kim Hua / Wu, Liangchuan et al. | 2023