Dynamic Portfolio Choice with Risk Control
In a complete market, using Value-at-Risk (VaR) increases losses while Expected Shortfall (ES) reduces losses during market downturns.
Featured in No. 83 on 23 Jan 2025 · on release day
- Released
- 23 Jan 2025
- First featured
- No. 83 · 23 Jan 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 14
- Identifier
- RePEc:eee:ejores:v:322:y:2025:i:1:p:325-340
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