Tractable robust expected utility and risk models for portfolio optimization
Karthik Natarajan; Melvyn Sim; Joline Uichanco
| Year of publication: |
2010
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|---|---|
| Authors: | Natarajan, Karthik ; Sim, Melvyn ; Uichanco, Joline |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 20.2010, 4, p. 695-731
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| Subject: | Portfolio-Management | Portfolio selection | Erwartungsnutzen | Expected utility | Risiko | Risk | Statistische Verteilung | Statistical distribution | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008667625