Portfolio allocation based on expected profit and loss measures
Year of publication: |
2020
|
---|---|
Authors: | Venter, J. H. ; Jongh, Pieter Juriaan de |
Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1238, ZDB-ID 2889641-5. - Vol. 9.2020, 4, p. 19-60
|
Subject: | expected portfolio profit | expected loss | optimal long-short allocation | reward and risk contributions | linear programming portfolio solutions | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Erwartungsbildung | Expectation formation | Rationale Erwartung | Rational expectations |
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