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On the price of risk in a mean-risk optimization model - MaRDI portal

On the price of risk in a mean-risk optimization model (Q4619512)

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scientific article; zbMATH DE number 7013635
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On the price of risk in a mean-risk optimization model
scientific article; zbMATH DE number 7013635

    Statements

    title
    On the price of risk in a mean-risk optimization model (English)
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    author
    Dentcheva, Darinka
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    Gregory J. Stock
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    publication date
    6 February 2019
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    zbMATH Keywords
    mean-semi-deviation
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    portfolio optimization
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    coefficient of variation
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    Value-at-Risk
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    stochastic orders
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    cites work
    Q3996777
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    Q2771732
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    Q3632460
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    Q4652020
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    Q4001511
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    Q2925334
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    Identifiers

    zbMATH DE Number
    7013635
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    OpenAlex ID
    W2794424587
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    Wikidata QID
    Q130156665
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