PORTFOLIO OPTIMIZATION UNDER PARAMETER UNCERTAINTY USING THE RISK AVERSION FORMULA (Q4630983)
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scientific article; zbMATH DE number 7046862
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PORTFOLIO OPTIMIZATION UNDER PARAMETER UNCERTAINTY USING THE RISK AVERSION FORMULA |
scientific article; zbMATH DE number 7046862 |
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PORTFOLIO OPTIMIZATION UNDER PARAMETER UNCERTAINTY USING THE RISK AVERSION FORMULA (English)
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23 April 2019
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mean-variance optimization
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risk aversion formulation
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robust
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