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Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor - MaRDI portal

Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor (Q5250044)

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scientific article; zbMATH DE number 6435987
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English
Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor
scientific article; zbMATH DE number 6435987

    Statements

    title
    Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor (English)
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    DOI
    10.1137/130942826
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    publication date
    15 May 2015
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    Mathematics Subject Classification ID
    91G10
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    91G70
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    93E20
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    zbMATH DE Number
    6435987
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    zbMATH Keywords
    optimal investment
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    power utility
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    parameter uncertainty
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    risk aversion
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    \(L_1\)-norm constraint
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    sparse portfolio
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    OpenAlex ID
    W3121834105
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