Portfolio optimization under shortfall risk constraint (Q2817245)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Portfolio optimization under shortfall risk constraint |
scientific article; zbMATH DE number 6620343
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization under shortfall risk constraint |
scientific article; zbMATH DE number 6620343 |
Statements
Portfolio optimization under shortfall risk constraint (English)
0 references
29 August 2016
0 references
portfolio optimization
0 references
utility-based shortfall risk
0 references
convex duality
0 references
Lagrange multiplier
0 references
asymptotic elasticity
0 references
optimal consumption
0 references
0 references
0 references
0 references
