Finite Horizon Portfolio Risk Models with Probability Criterion

Jerzy Filar, Yuanlie Lin, Ke Liu

    Research output: Chapter in Book/Report/Conference proceedingChapter

    Original languageEnglish
    Title of host publicationMarkov Processes and Controlled Markov Chains
    PublisherKluwer
    Pages405-424
    Number of pages20
    ISBN (Print)9781402008030
    Publication statusPublished - 2002

    Cite this

    Filar, J., Lin, Y., & Liu, K. (2002). Finite Horizon Portfolio Risk Models with Probability Criterion. In Markov Processes and Controlled Markov Chains (pp. 405-424). Kluwer.