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BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO - MaRDI portal

BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO (Q5889362)

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scientific article; zbMATH DE number 7676569
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English
BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
scientific article; zbMATH DE number 7676569

    Statements

    title
    BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO (English)
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    author
    Jiang Ye
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    YiWei Wang
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    Q5889361
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    publication date
    20 April 2023
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    zbMATH Keywords
    Sharpe ratio
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    Lagrange multiplier method
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    Black-Scholes market
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    Identifiers

    zbMATH DE Number
    7676569
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    OpenAlex ID
    W4319263662
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