Properties of time averages in a risk management simulation
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More about this item
Keywords
Time average; risk management; portfolio optimization;All these keywords.
JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2014-05-09 (Risk Management)
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