Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor (Q5250044)
From MaRDI portal
scientific article; zbMATH DE number 6435987
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor |
scientific article; zbMATH DE number 6435987 |
Statements
Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor (English)
0 references
15 May 2015
0 references
optimal investment
0 references
power utility
0 references
parameter uncertainty
0 references
risk aversion
0 references
\(L_1\)-norm constraint
0 references
sparse portfolio
0 references
0 references
