Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory (Q2700077)
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| Language | Label | Description | Also known as |
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| English | Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory |
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Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory (English)
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20 April 2023
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portfolio optimization
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rank-dependent expected utility
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quantile formulation
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relaxation method
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VaR constraint
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