Bounded strategies for maximizing the sharpe ratio
Year of publication: |
2023
|
---|---|
Authors: | Ye, Jiang ; Wang, Yiwei ; Raza, Muhammad Wajid |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 1, Art.-No. 2350002, p. 1-15
|
Subject: | Black-Scholes market | Lagrange multiplier method | Sharpe ratio | Portfolio-Management | Portfolio selection | Theorie | Theory |
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