Portfolio selection with uncertain exit time: A robust CVaR approach
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 32 (2008)
Issue (Month): 2 (February)
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Web page: http://www.elsevier.com/locate/jedc
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- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- Terrance Odean, 1998. "Are Investors Reluctant to Realize Their Losses?," Journal of Finance, American Finance Association, vol. 53(5), pages 1775-1798, October.
- Richard, Scott F., 1975. "Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model," Journal of Financial Economics, Elsevier, vol. 2(2), pages 187-203, June.
- Luigi Grossi & Fabrizio Laurini, 2011. "Robust estimation of efficient mean–variance frontiers," Advances in Data Analysis and Classification, Springer, vol. 5(1), pages 3-22, April.
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