On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility (Q690974)
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scientific article; zbMATH DE number 6111204
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility |
scientific article; zbMATH DE number 6111204 |
Statements
On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility (English)
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29 November 2012
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optimal portfolio
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truncated quadratic utility
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monotone mean-variance preferences
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divergence preferences
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HARA utility
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monotone hull
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translation-invariant hull
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